Duration Dependence, Monetary Policy Asymmetries, and the Business Cycle

Travis Berge and Damjan Pfajfar

No 2019-020, Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.)

Abstract: We produce business cycle chronologies for U.S. states and evaluate the factors that change the probability of moving from one phase to another. We find strong evidence for positive duration dependence in all business cycle phases but find that the effect is modest relative to other state- and national-level factors. Monetary policy shocks also have a strong influence on the transition probabilities in a highly asymmetric way. The effect of policy shocks depends on the current state of the cycle as well as the sign and size of the shock.

Keywords: Duration analysis; Business cycles; Hazard rates; Monetary policy asymmetries (search for similar items in EconPapers)
JEL-codes: C23 C25 E32 E52 (search for similar items in EconPapers)
Pages: 26 pages
Date: 2019-03-25
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfe:2019-20

DOI: 10.17016/FEDS.2019.020

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