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Jump-and-rest effect of U.S. business cycles

Author

Listed:
  • Máximo Camacho

    (Universidad de Murcia)

  • Gabriel Pérez-Quirós

    (Economic Bureau of the President)

Abstract

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

Suggested Citation

  • Máximo Camacho & Gabriel Pérez-Quirós, 2005. "Jump-and-rest effect of U.S. business cycles," Working Papers 0507, Banco de España.
    • Handle: RePEc:bde:wpaper:0507
    as

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    References listed on IDEAS

    as
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    11. 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.
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    More about this item

    Keywords

    business cycles; output growth; time series;
    All these keywords.

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications

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