Real vs. Nominal Cycles: A Multistate Markov-Switching Bi-Factor Approach

Danilo Leiva-Leon ()

MPRA Paper from University Library of Munich, Germany

Abstract: This paper proposes a probabilistic model based on comovements and nonlinearities useful to assess the type of shock affecting each phase of the business cycle. By providing simultaneous inferences on the phases of real activity and inflation cycles, contractionary episodes are dated and categorized into demand, supply and mix recessions. The impact of shocks originated in the housing market over the business cycle is also assessed, finding that recessions are usually accompanied by housing deflationary pressures, while expansions are mainly influenced by housing demand shocks, with the only exception occurred during the period surrounding the "Great Recession," affected by expansionary housing supply shocks.

Keywords: Business Cycles; Inflation Cycles; Housing Price Cycles; Dynamics Factors; Markov-Switching. (search for similar items in EconPapers)
JEL-codes: C22 E27 E32 (search for similar items in EconPapers)
Date: 2013-12-14
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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Related works:
Journal Article: Real vs. nominal cycles: a multistate Markov-switching bi-factor approach (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:54456

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