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| Title: | | Recent changes in the US business cycle  |
| 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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