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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

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.

Suggested Citation

  • Michael D. Boldin, 1992. "Using switching models to study business cycle asymmetries: 1. overview of methodology and application," Research Paper 9211, Federal Reserve Bank of New York.
    • Handle: RePEc:fip:fednrp:9211
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    Citations

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    Cited by:

    1. Filardo, Andrew J. & Gordon, Stephen F., 1998. "Business cycle durations," Journal of Econometrics, Elsevier, vol. 85(1), pages 99-123, July.
    2. Chan Guk Huh, 1995. "Regime switching in the dynamic relationship between the federal funds rate and nonborrowed reserves," Working Papers in Applied Economic Theory 95-11, Federal Reserve Bank of San Francisco.
    3. Chan Guk Huh, 1998. "Forecasting industrial production using models with business cycle asymmetry," Economic Review, Federal Reserve Bank of San Francisco, pages 29-41.
    4. Yin, Ming, 2015. "Estimating Gaussian Mixture Autoregressive model with Sequential Monte Carlo algorithm: A parallel GPU implementation," MPRA Paper 88111, University Library of Munich, Germany, revised 2018.
    5. Gabriela Mundaca, B., 2000. "The effect of interventions on realignment probabilities," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(3-4), pages 323-347, December.
    6. Kakes, Jan, 1998. "Monetary transmission and business cycle asymmetry," Research Report 98C36, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    7. Chan Guk 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.).
    8. Luca Stanca, 1999. "Asymmetries and nonlinearities in Italian macroeconomic fluctuations," Applied Economics, Taylor & Francis Journals, vol. 31(4), pages 483-491.

    More about this item

    Keywords

    Business cycles;

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