The propagation of regional recessions
This paper develops a framework for inferring common Markov-switching components in a panel data set with large cross-section and time-series dimensions. We apply the framework to studying similarities and differences across U.S. states in the timing of business cycles. We hypothesize that there exists a small number of cluster designations, with individual states in a given cluster sharing certain business cycle characteristics. We find that although oil-producing and agricultural states can sometimes experience a separate recession from the rest of the United States, for the most part, differences across states appear to be a matter of timing, with some states entering recession or recovering before others.
|Date of creation:||2009|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://www.stlouisfed.org/
More information through EDIRC
|Order Information:|| Email: |
References listed on IDEAS
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.:
- Del Negro, Marco, 2002.
"Asymmetric shocks among U.S. states,"
Journal of International Economics,
Elsevier, vol. 56(2), pages 273-297, March.
- 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.
- Geweke, John & Keane, Michael, 2007. "Smoothly mixing regressions," Journal of Econometrics, Elsevier, vol. 138(1), pages 252-290, May.
- Michael A. Kouparitsas, 1999. "Is the United States an optimal currency area?," Chicago Fed Letter, Federal Reserve Bank of Chicago, issue Oct.
- Fruhwirth-Schnatter, Sylvia & Kaufmann, Sylvia, 2008.
"Model-Based Clustering of Multiple Time Series,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 26, pages 78-89, January.
- Christopher A. Sims & Daniel F. Waggoner & Tao Zha, 2006.
"Methods for inference in large multiple-equation Markov-switching models,"
2006-22, Federal Reserve Bank of Atlanta.
- Sims, Christopher A. & Waggoner, Daniel F. & Zha, Tao, 2008. "Methods for inference in large multiple-equation Markov-switching models," Journal of Econometrics, Elsevier, vol. 146(2), pages 255-274, October.
- Bram van Dijk & Philip Hans Franses & Richard Paap & Dick van Dijk, 2011.
"Modelling regional house prices,"
Taylor & Francis Journals, vol. 43(17), pages 2097-2110.
- Gerald Carlino & Robert Defina, 1998. "The Differential Regional Effects Of Monetary Policy," The Review of Economics and Statistics, MIT Press, vol. 80(4), pages 572-587, November.
- Carlino, Gerald A. & DeFina, Robert H., 2004. "How strong is co-movement in employment over the business cycle? Evidence from state/sector data," Journal of Urban Economics, Elsevier, vol. 55(2), pages 298-315, March.
- Forni, Mario & Reichlin, Lucrezia, 2001.
"Federal policies and local economies: Europe and the US,"
European Economic Review,
Elsevier, vol. 45(1), pages 109-134, January.
- Mario Forni & Lucrezia Reichlin, 2001. "Federal policies and local economies: Europe and the U.S," ULB Institutional Repository 2013/10141, ULB -- Universite Libre de Bruxelles.
- Gerald Carlino & Keith Sill, 2000.
"Regional income fluctuations: common trends and common cycles,"
00-8, Federal Reserve Bank of Philadelphia.
- Gerald Carlino & Keith Sill, 2001. "Regional Income Fluctuations: Common Trends And Common Cycles," The Review of Economics and Statistics, MIT Press, vol. 83(3), pages 446-456, August.
- Michael T. Owyang & Jeremy Piger & Howard J. Wall, 2005.
"Business Cycle Phases in U.S. States,"
The Review of Economics and Statistics,
MIT Press, vol. 87(4), pages 604-616, November.
- Mark D. Partridge & Dan S. Rickman, 2005. "Regional cyclical asymmetries in an optimal currency area: an analysis using US state data," Oxford Economic Papers, Oxford University Press, vol. 57(3), pages 373-397, July.
- Chib, Siddhartha, 1996. "Calculating posterior distributions and modal estimates in Markov mixture models," Journal of Econometrics, Elsevier, vol. 75(1), pages 79-97, November.
- Sylvia Kaufmann, 2008.
"Dating and forecasting turning points by Bayesian clustering with dynamic structure: A suggestion with an application to Austrian data,"
144, Oesterreichische Nationalbank (Austrian Central Bank).
- Sylvia Kaufmann, 2010. "Dating and forecasting turning points by Bayesian clustering with dynamic structure: a suggestion with an application to Austrian data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(2), pages 309-344.
- Owyang, Michael T. & Piger, Jeremy M. & Wall, Howard J. & Wheeler, Christopher H., 2008.
"The economic performance of cities: A Markov-switching approach,"
Journal of Urban Economics,
Elsevier, vol. 64(3), pages 538-550, November.
- Michael T. Owyang & Jeremy M. Piger & Howard J. Wall & Christopher H. Wheeler, 2007. "The economic performance of cities: a Markov-switching approach," Working Papers 2006-056, Federal Reserve Bank of St. Louis.
- Arthur F. Burns & Wesley C. Mitchell, 1946. "Measuring Business Cycles," NBER Books, National Bureau of Economic Research, Inc, number burn46-1, December.
When requesting a correction, please mention this item's handle: RePEc:fip:fedlwp:2009-013. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Anna Xiao)
If references are entirely missing, you can add them using this form.