Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/60541
Authors: 
Chauvet, Marcelle
Potter, Simon
Year of Publication: 
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

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