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Title:Recent changes in the US business cycle PDF Logo
Authors:Chauvet, Marcelle
Potter, Simon
Issue Date:2001
Series/Report no.:Staff Report, Federal Reserve Bank of New York 126
Abstract: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.
Common Factor
Business Cycle
Bayesian Methods
Document Type:Working Paper
Appears in Collections:Staff Reports, Federal Reserve Bank of New York

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