Has the U.S. Economy Become More Stable? A Bayesian Approach Based on a Markov-Switching Model of the Business Cycle
We hope to answer three questions: Has there been a structural break in postwar U.S. real GDP growth towards stabilization? If so, when? What is the nature of this structural break? We employ a Bayesian approach to identify a structural break at an unknown changepoint in a Markov-switching model of...
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| Veröffentlicht in: | The review of economics and statistics 1999-11, Vol.81 (4), p.608-616 |
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| container_title | The review of economics and statistics |
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| creator | Kim, Chang-Jin Nelson, Charles R. |
| description | We hope to answer three questions: Has there been a structural break in postwar U.S. real GDP growth towards stabilization? If so, when? What is the nature of this structural break? We employ a Bayesian approach to identify a structural break at an unknown changepoint in a Markov-switching model of the business cycle. Empirical results suggest a break in GDP growth toward stabilization, with the posterior mode of the break date at 1984:1. Furthermore, we find a narrowing gap between growth rates during recessions and booms that is at least as important as any decline in the volatility of shocks. |
| doi_str_mv | 10.1162/003465399558472 |
| format | Article |
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| source | JSTOR Mathematics and Statistics; Business Source Complete; Periodicals Index Online; MIT Press Journals; JSTOR |
| subjects | Bayesian analysis Business cycles Economic fluctuations Economic growth models Economic growth rate Economic models Economic recessions GDP Gross Domestic Product Growth recessions Inference Markov analysis Parametric models Real gross domestic product Statistical variance Studies Symposium on Forecasting and Empirical Methods in Macroeconomics and Finance |
| title | Has the U.S. Economy Become More Stable? A Bayesian Approach Based on a Markov-Switching Model of the Business Cycle |
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