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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.
Subjects:Recession
Common Factor
Business Cycle
Bayesian Methods
JEL:E52
C53
Document Type:Working Paper
Appears in Collections:Staff Reports, Federal Reserve Bank of New York

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