Recent Changes in the U.S. Business Cycle

37 Pages Posted: 23 Oct 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

Date Written: April 2001

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

Suggested Citation

Chauvet, Marcelle and Potter, Simon, Recent Changes in the U.S. Business Cycle (April 2001). Available at SSRN: https://ssrn.com/abstract=288267 or http://dx.doi.org/10.2139/ssrn.288267

Marcelle Chauvet (Contact Author)

University of California Riverside ( email )

900 University Avenue
4136 Sproul Hall
Riverside, CA 92521
United States
(951) 827-1587 (Phone)

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)

Register to save articles to
your library

Register

Paper statistics

Downloads
460
Abstract Views
4,961
rank
54,683
PlumX Metrics