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Jump-and-Rest Effect of U.S. Business Cycles

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Author Info
Maximo Camacho (Universidad de Murcia)
Gabriel Perez Quiros (Banco de España and CEPR)

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Abstract

One of the most familiar empirical stylized facts about output dynamics in the United States is the positive autocorrelation of output growth. This paper shows that positive autocorrelation can be better captured by shifts between business cycle states rather than by the standard view of autoregressive coefficients. The result is extremely robust to different nonlinear alternative models and applies not only to output but also to the most relevant macroeconomic variables.

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Publisher Info
Article provided by Berkeley Electronic Press in its journal Studies in Nonlinear Dynamics & Econometrics.

Volume (Year): 11 (2007)
Issue (Month): 4 ()
Pages: 1480-1480
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Handle: RePEc:bep:sndecm:11:2007:4:1480-1480

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Related research
Keywords: business cycles output growth time series

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References listed on IDEAS
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  5. Maximo Camacho, 2004. "Vector smooth transition regression models for US GDP and the composite index of leading indicators," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(3), pages 173-196. [Downloadable!]
  6. Margaret M. McConnell & Gabriel Perez-Quiros, 2000. "Output Fluctuations in the United States: What Has Changed since the Early 1980's?," American Economic Review, American Economic Association, vol. 90(5), pages 1464-1476, December. [Downloadable!] (restricted)
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  7. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March. [Downloadable!] (restricted)
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  11. Harding, Don & Pagan, Adrian, 2002. "Dissecting the cycle: a methodological investigation," Journal of Monetary Economics, Elsevier, vol. 49(2), pages 365-381, March. [Downloadable!] (restricted)
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  12. Azariadis, Costas & Smith, Bruce, 1998. "Financial Intermediation and Regime Switching in Business Cycles," American Economic Review, American Economic Association, vol. 88(3), pages 516-36, June. [Downloadable!] (restricted)
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    • Paul Romer & George Evans & Seppo Hokapohja, . "Growth Cycles," Home Pages _001, Stanford University. [Downloadable!]
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Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Ángel de la Fuente & Juan F. Jimeno, 2005. "The private and fiscal returns to schooling and the effect of public policies on private incentives to invest in education: a general framework and some results for the EU," Banco de España Working Papers 0509, Banco de España. [Downloadable!]
    Other versions:
  2. Francisco de Castro & Pablo Hernández de Cos, 2006. "The economic effects of exogenous fiscal shocks in Spain: a SVAR approach," Banco de España Working Papers 0604, Banco de España. [Downloadable!]
  3. Agustín Maravall, 2005. "An application of the Tramo Seats automatic procedure; direct versus indirect adjustment," Banco de España Working Papers 0524, Banco de España. [Downloadable!]
  4. Juan J. Dolado & Marcel Jansen & Juan F. Jimeno, 2005. "Dual employment protection legislation: a framework for analysis," Banco de España Working Papers 0510, Banco de España. [Downloadable!]
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  5. Óscar J. Arce & David López-Salido, 2006. "House Prices, Rents, and Interest Rates under Collateral Constraints," Banco de España Working Papers 0610, Banco de España. [Downloadable!]
  6. Ana del Río & Garry Young, 2005. "The determinants of unsecured borrowing: evidence from the British household panel survey," Banco de España Working Papers 0511, Banco de España. [Downloadable!]
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  7. Luis J. Álvarez & Pablo Burriel & Ignacio Hernando, 2005. "Do decreasing hazard functions for price changes make any sense?," Banco de España Working Papers 0508, Banco de España. [Downloadable!]
  8. Gabriel Jiménez & Vicente Salas-Fumás & Jesús Saurina, 2006. "Credit market competition, collateral and firms' finance," Banco de España Working Papers 0612, Banco de España. [Downloadable!]
  9. Ana del Río & Garry Young, 2005. "The impact of unsecured debt on financial distress among British households," Banco de España Working Papers 0512, Banco de España. [Downloadable!]
    Other versions:
  10. Paloma López-García & Sergio Puente, 2006. "Business demography in Spain: determinants of firm survival," Banco de España Working Papers 0608, Banco de España. [Downloadable!]
  11. Luis J. Álvarez & Pablo Burriel & Ignacio Hernando, 2005. "Price setting behaviour in Spain: evidence from micro PPI data," Banco de España Working Papers 0527, Banco de España. [Downloadable!]
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