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The possible shapes of recoveries in Markov-switching models

  • Bec, F.
  • Bouabdallah, O.
  • Ferrara, L.

This paper explores the various shapes the recoveries may exhibit within a Markov-Switching model. It relies on the bounce-back effects first analyzed by Kim, Morley and Piger (2005) and extends 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. This approach is then applied to post-WWII quarterly growth rates of US, UK and French real GDPs.

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File URL: http://www.banque-france.fr/uploads/tx_bdfdocumentstravail/DT321.pdf
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Paper provided by Banque de France in its series Working papers with number 321.

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Length: 37 pages
Date of creation: 2011
Date of revision:
Handle: RePEc:bfr:banfra:321
Contact details of provider: Postal: Banque de France 31 Rue Croix des Petits Champs LABOLOG - 49-1404 75049 PARIS
Web page: http://www.banque-france.fr/

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  1. Chang-Jin Kim & James Morley & Jeremy Piger, 2003. "Nonlinearity and the permanent effects of recessions," Working Papers 2002-014, Federal Reserve Bank of St. Louis.
  2. Aghion, P. & Askenazy, P. & Berman, N. & Cette, G. & Eymard, L., 2008. "Credit Constraints and the Cyclicality of R&D Investment: Evidence from France," Working papers 198, Banque de France.
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