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Comparing the shape of recoveries: France, the UK and the US

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  • Bec, Frédérique
  • Bouabdallah, Othman
  • Ferrara, Laurent

Abstract

Progresses in fiscal consolidation programs are often expressed in cyclically-adjusted terms, meaning that business cycles have to be accurately estimated. In this paper, we put forward a parametric framework enabling to assess business cycles, especially at the end of recession periods by accounting for bounce-back effects. We explore the various shapes that the recoveries may exhibit within an extended Markov-Switching model as proposed by Kim, Morley and Piger (2005) and extend the methodology by proposing i) a more flexible bounce-back model, ii) explicit tests to select the appropriate bounce-back function, if any, and iii) a suitable measure of the permanent impact of recessions. By applying this approach to post-WWII quarterly growth rates of US, UK and French real GDPs, we show that the shape of recoveries is country-specific.

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  • Bec, Frédérique & Bouabdallah, Othman & Ferrara, Laurent, 2015. "Comparing the shape of recoveries: France, the UK and the US," Economic Modelling, Elsevier, vol. 44(C), pages 327-334.
    • Handle: RePEc:eee:ecmode:v:44:y:2015:i:c:p:327-334
    DOI: 10.1016/j.econmod.2014.04.008
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    Cited by:

    1. M. Ayhan Kose & Naotaka Sugawara & Marco E. Terrones, 2020. "Global Recessions," Working Papers 162, Peruvian Economic Association.
    2. Artur Silva Lopes & Gabriel Florin Zsurkis, 2019. "Are linear models really unuseful to describe business cycle data?," Applied Economics, Taylor & Francis Journals, vol. 51(22), pages 2355-2376, May.
    3. Lopes, Artur Silva & Zsurkis, Gabriel Florin, 2017. "Are linear models really unuseful to describe business cycle data?," Economics Discussion Papers 2017-5, Kiel Institute for the World Economy (IfW Kiel).
    4. Antonin Aviat & Frédérique Bec & Claude Diebolt & Catherine Doz & Denis Ferrand & Laurent Ferrara & Eric Heyer & Valérie Mignon & Pierre-Alain Pionnier, 2021. "Dating business cycles in France: a reference chronology," SciencePo Working papers Main hal-03373425, HAL.
    5. Zeng, Songlin & Bec, Frédérique, 2015. "Do stock returns rebound after bear markets? An empirical analysis from five OECD countries," Journal of Empirical Finance, Elsevier, vol. 30(C), pages 50-61.
    6. Nuri Yildirim, 2015. "A Survival Analysis of the Contraction Phases of Business Cycles in Industrial Countries," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 62(5), pages 557-579, December.
    7. Rivaud, S., 2015. "Impacts macroéconomiques internationaux des réformes structurelles," Bulletin de la Banque de France, Banque de France, issue 200, pages 91-105.
    8. Gadea, María Dolores & Gomez-Loscos, Ana & Perez-Quiros, Gabriel, 2017. "Dissecting US recoveries," Economics Letters, Elsevier, vol. 154(C), pages 59-63.
    9. Silva Lopes, Artur C. & Florin Zsurkis, Gabriel, 2015. "Revisiting non-linearities in business cycles around the world," MPRA Paper 65668, University Library of Munich, Germany.

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