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Autoren: 
Chauvet, Marcelle
Potter, Simon
Datum: 
2001
Schriftenreihe/Nr.: 
Staff Report No. 126
Zusammenfassung: 
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.
Schlagwörter: 
Recession
Common Factor
Business Cycle
Bayesian Methods
JEL: 
E52
C53
Dokumentart: 
Working Paper

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