Do long swings in the business cycle lead to strong persistence in output

• 成果类型: Article
• 署名作者: Jensen, Mark J.; Liu, Ming
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Atlanta; Chinese University of Hong Kong
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2005.01.006
• 发表日期: 2006
• 页码: 597-611
• 关键词: business cycles; duration; fat-tailed distributions; long swings; long memory; regime switching model

摘要

This paper investigates how the occasional long swing in the business cycle can produce long-memory behaviour in US output. chain regime switching model of real aggregate output to include the occasional long regime. We do this by modeling the duration length of the expansion and recession regimes as draws from a fat-tailed distribution with realized durations that are high in variability and occasionally extreme in value. Empirically, we find that the tail indices for the length of US economic booms and busts correspond with the long-memory parameter estimates of Diebold and Rudebusch [1989. Long memory and persistence in aggregate output. Journal of Monetary Economics 24, 189-209] and Sowell [1992a. Modeling long-run behavior with the fractional ARIMA model. Journal of Monetary Economics 29, 277-302] for real US output. Estimates of our extended regime switching model produce better short- and long-run forecasts of output in comparison to forecasts with a fractionally integrated model. Furthermore, our estimated regime-switching model finds US expansions to be fragile during their infancy, but become more and more likely to continue after surviving the first seven quarters. (c) 2006 Elsevier B.V. All rights reserved.