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Using switching models to study business cycle asymmetries: 1. overview of methodology and application

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  • Michael D. Boldin
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    Abstract

    Switching Models are advocated as interesting and tractable alternatives to conventional, linear models of the business cycle. Applications are motivated by the belief that expansions and recessions are distinct regimes with different data generating processes. Therefore, it is important that econometric specifications capture this fundamental asymmetry. With Switching Models, both the time-periods and characteristics of business cycle regimes can be derived simultaneously. Asymmetries can then be tested with a minimum of prior modeling assumptions and restrictions. Results with monthly data strongly support the asymmetric, multiple-regime view. These models have definite potential in many areas of economic research.

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    Bibliographic Info

    Paper provided by Federal Reserve Bank of New York in its series Research Paper with number 9211.

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    Date of creation: 1992
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    Handle: RePEc:fip:fednrp:9211

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    Keywords: Business cycles;

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    Cited by:
    1. Gordon, S.F. & Filardo, A.J., 1993. "Business Cycle Durations," Papers 9328, Laval - Recherche en Politique Economique.
    2. Chan Huh, 1998. "Forecasting industrial production using models with business cycle asymmetry," Economic Review, Federal Reserve Bank of San Francisco, pages 29-41.
    3. Chan Huh, 1996. "Regime switching in the dynamic relationship between the federal funds rate and innovations in nonborrowed reserves," International Finance Discussion Papers 536, Board of Governors of the Federal Reserve System (U.S.).

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