• Media type: E-Book; Report
  • Title: Recent changes in the US business cycle
  • Contributor: Chauvet, Marcelle [Author]; Potter, Simon [Author]
  • imprint: New York, NY: Federal Reserve Bank of New York, 2001
  • Language: English
  • Keywords: Business Cycle ; C53 ; Bayesian Methods ; E52 ; Zeitreihenanalyse ; Konjunktur ; Common Factor ; Bayes-Statistik ; Recession ; USA
  • Origination:
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  • Description: The U.S. business cycle expansion that started in March 1991 is the longest on record. This paper uses statistical techniques to examine whether this expansion is a onetime unique event or whether its length is a result of a change in the stability of the U.S. economy. Bayesian methods are used to estimate a common factor model that allows for structural breaks in the dynamics of a wide range of macroeconomic variables. We find strong evidence that a reduction in volatility is common to the series examined. Further, the reduction in volatility implies that future expansions will be considerably longer than the historical average.
  • Access State: Open Access