DO RECESSIONS PERMANENTLY CHANGE OUTPUT

• 成果类型: Article
• 署名作者: BEAUDRY, P; KOOP, G
• 署名单位: Boston University; Universite de Montreal; University of Cambridge
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/0304-3932(93)90042-E
• 发表日期: 1993
• 页码: 149-163
• 关键词: economic fluctuations; asymmetries; persistence

摘要

This paper examines whether negative innovations to GNP are more or less persistent than positive innovations. We find that once we allow for the impulse response of GNP to be asymmetric, negative innovations to GNP are observed to be much less persistent than positive ones. In particular, the effect of a recession on the forecast of output is found to be negligible after only eight to twelve quarters, while the effect of a positive shock is estimated to be persistent and amplified over time. Our results may therefore help reconcile two antagonistic views about the nature of business cycle fluctuations.