Jump-and-rest effect of U.S. business cycles

Maximo Camacho and Gabriel Pérez-Quirós ()
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Gabriel Pérez-Quirós: Economic Bureau of the President
Authors registered in the RePEc Author Service: Gabriel Perez Quiros

No 507, Working Papers from Banco de España

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

Keywords: business cycles; output growth; time series (search for similar items in EconPapers)
JEL-codes: C22 E27 E32 (search for similar items in EconPapers)
Pages: 41 pages
Date: 2005-03
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Citations: View citations in EconPapers (14)

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http://www.bde.es/f/webbde/SES/Secciones/Publicaci ... o/05/Fic/dt0507e.pdf First version, March 2005 (application/pdf)

Related works:
Journal Article: Jump-and-Rest Effect of U.S. Business Cycles (2007)
Working Paper: Jump-and-Rest Effects of US Business Cycles (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:bde:wpaper:0507

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