Do long swings in the business cycle lead to strong persistence in output
Publication in refereed journal


香港中文大学研究人员 ( 现职)

刘民教授 (金融学系)

全文

数位物件识别号 (DOI) http://dx.doi.org/10.1016/j.jmoneco.2005.01.006

引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/9WOS source URL

其它资讯

摘要This paper investigates how the occasional long swing in the business cycle can produce long-memory behaviour in US output. chain regime switching model of real aggregate output to include the occasional long regime. We do this by modeling the duration length of the expansion and recession regimes as draws from a fat-tailed distribution with realized durations that are high in variability and occasionally extreme in value. Empirically, we find that the tail indices for the length of US economic booms and busts correspond with the long-memory parameter estimates of Diebold and Rudebusch [1http://aims.cuhk.edu.hk/converis/portal/Publication/98http://aims.cuhk.edu.hk/converis/portal/Publication/9. Long memory and persistence in aggregate output. Journal of Monetary Economics 24, 18http://aims.cuhk.edu.hk/converis/portal/Publication/9-20http://aims.cuhk.edu.hk/converis/portal/Publication/9] and Sowell [1http://aims.cuhk.edu.hk/converis/portal/Publication/9http://aims.cuhk.edu.hk/converis/portal/Publication/92a. Modeling long-run behavior with the fractional ARIMA model. Journal of Monetary Economics 2http://aims.cuhk.edu.hk/converis/portal/Publication/9, 277-302] for real US output. Estimates of our extended regime switching model produce better short- and long-run forecasts of output in comparison to forecasts with a fractionally integrated model. Furthermore, our estimated regime-switching model finds US expansions to be fragile during their infancy, but become more and more likely to continue after surviving the first seven quarters. (c) 2006 Elsevier B.V. All rights reserved.

着者Jensen MJ, Liu M
期刊名称JOURNAL OF MONETARY ECONOMICS
出版年份2006
月份4
日期1
卷号53
期次3
出版社ELSEVIER SCIENCE BV
页次5http://aims.cuhk.edu.hk/converis/portal/Publication/97 - 611
国际标準期刊号0304-3http://aims.cuhk.edu.hk/converis/portal/Publication/932
语言英式英语

关键词business cycles; duration; fat-tailed distributions; long memory; long swings; regime switching model
Web of Science 学科类别Business & Economics; Business, Finance; BUSINESS, FINANCE; Economics; ECONOMICS