Jump-and-Rest Effect of U.S. Business Cycles

Maximo Camacho and Gabriel Perez Quiros

Studies in Nonlinear Dynamics & Econometrics, 2007, vol. 11, issue 4, 39

Abstract: One of the most familiar empirical stylized facts about output dynamics in the United States is the positive autocorrelation of output growth. This paper shows that positive autocorrelation can be better captured by shifts between business cycle states rather than by the standard view of autoregressive coefficients. The result is extremely robust to different nonlinear alternative models and applies not only to output but also to the most relevant macroeconomic variables.

Date: 2007
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Related works:
Working Paper: Jump-and-rest effect of U.S. business cycles (2005)
Working Paper: Jump-and-Rest Effects of US Business Cycles (2005)
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DOI: 10.2202/1558-3708.1480

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