Recent Changes in the US Business Cycle

Marcelle Chauvet and Simon Potter

Manchester School, 2001, vol. 69, issue 5, 481-508

Abstract: The US business cycle expansion that started in March 1991 is the longest on record. In this paper we use statistical techniques to examine whether this expansion is a one‐time unique event or whether its length is a result of a change in the stability of the US 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 record.

Date: 2001
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https://doi.org/10.1111/1467-9957.00266

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Working Paper: Recent changes in the U.S. business cycle (2001)
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