Common stochastic trends, common cycles, and asymmetry in economic fluctuations

• 成果类型: Article
• 署名作者: Kim, CJ; Piger, J
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - St. Louis; Korea University
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/S0304-3932(02)00146-0
• 发表日期: 2002
• 页码: 1189-1211
• 关键词: asymmetry; business cycles; Common shocks; Markov-switching; Productivity slowdown

摘要

This paper investigates the nature of U.S. business cycle asymmetry using a dynamic factor model of output, investment, and consumption. We identify a common stochastic trend and common transitory component by embedding the permanent income hypothesis within a simple growth model. Markov-switching in each component captures two types of asymmetry: Shifts in the growth rate of the common stochastic trend, having permanent effects, and plucking deviations from the common stochastic trend, having only transitory effects. Statistical tests suggest both asymmetries were present in post-war recessions, although the shifts in trend are less severe than found in the received literature. (C) 2002 Elsevier Science B.V. All rights reserved.