The possible shapes of recoveries in Markov-switching models

Frédérique Bec, O. Bouabdallah and Laurent Ferrara

Working papers from Banque de France

Abstract: This paper explores the various shapes the recoveries may exhibit within a Markov-Switching model. It relies on the bounce-back effects first analyzed by Kim, Morley and Piger (2005) and extends the methodology by proposing i) a more flexible bounce-back model, ii) explicit tests to select the appropriate bounce-back function, if any, and iii) a suitable measure of the permanent impact of recessions. This approach is then applied to post-WWII quarterly growth rates of US, UK and French real GDPs.

Keywords: Markov-Switching models; bounce-back effects; asymmetric business cycles. (search for similar items in EconPapers)
JEL-codes: C22 E32 (search for similar items in EconPapers)
Pages: 37 pages
Date: 2011
New Economics Papers: this item is included in nep-mac
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Citations: View citations in EconPapers (7)

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Related works:
Working Paper: The Possible Shapes of Recoveries in Markov-Switching Models (2011)
Working Paper: The possible shapes of recoveries in Markov-Switching models (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:bfr:banfra:321

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