Recent Changes in the U.S. Business Cycle

Posted: 4 May 2001

See all articles by Marcelle Chauvet

Marcelle Chauvet

University of California Riverside

Simon Potter

Federal Reserve Bank of New York

Multiple version iconThere are 3 versions of this paper

Abstract

The US 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 US 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.

Keywords: Recession, Common Factor, Business Cycle, Bayesian Methods.

JEL Classification: E52, C53

Suggested Citation

Chauvet, Marcelle and Potter, Simon, Recent Changes in the U.S. Business Cycle. The Manchester School, Forthcoming. Available at SSRN: https://ssrn.com/abstract=267329

Marcelle Chauvet (Contact Author)

University of California Riverside ( email )

900 University Avenue
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Riverside, CA 92521
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HOME PAGE: http://https://sites.google.com/site/marcellechauvet/

Simon Potter

Federal Reserve Bank of New York ( email )

33 Liberty Street
New York, NY 10045
United States
212-720-6309 (Phone)
212-720-1844 (Fax)

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