Recent changes in the US business cycle

Arbeitspapier

The U.S. business cycle expansion that started in March 1991 is the longest on record. This paper uses statistical techniques to examine whether this expansion is a onetime unique event or whether its length is a result of a change in the stability of the U.S. economy. Bayesian methods are used to estimate a common factor model that allows for structural breaks in the dynamics of a wide range of macroeconomic variables. We find strong evidence that a reduction in volatility is common to the series examined. Further, the reduction in volatility implies that future expansions will be considerably longer than the historical average.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Staff Report ; No. 126

Classification and Topics

• Classification: Wirtschaft ; Monetary Policy ; Forecasting Models; Simulation Methods
• Subject: Recession ; Common Factor ; Business Cycle ; Bayesian Methods ; Konjunktur ; Zeitreihenanalyse ; Bayes-Statistik ; USA

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Chauvet, Marcelle ; Potter, Simon
• Event: Veröffentlichung
• (who): Federal Reserve Bank of New York
• (where): New York, NY
• (when): 2001

Further information

• Handle: http://hdl.handle.net/10419/60541
• Last update: 10.03.2025, 11:41 AM CET