Jump-and-Rest Effects of Us Business Cycles

51 Pages Posted: 28 Jul 2005

See all articles by Maximo Camacho

Maximo Camacho

Autonomous University of Barcelona - Department of Economics; Universidad de Murcia - Departamento de Metodos Cuantitativos

Gabriel Perez-Quiros

Banco de España

Date Written: March 2005

Abstract

One of the most extended empirical stylized facts about output dynamics in the United States is the positive autocorrelation of output growth. This paper shows that the positive autocorrelation can be better captured by shifts between business cycle states rather than by the standard view of autoregressive coefficients. This result is extremely robust to different non-linear alternative models and also applies not only to output, but also to the most relevant macroeconomic variables.

Keywords: Business cycles, output growth, time series

JEL Classification: C22, E27, E32

Suggested Citation

Camacho, Maximo and Perez-Quiros, Gabriel, Jump-and-Rest Effects of Us Business Cycles (March 2005). CEPR Discussion Paper No. 4975, Available at SSRN: https://ssrn.com/abstract=771665

Maximo Camacho (Contact Author)

Autonomous University of Barcelona - Department of Economics ( email )

Avda. Diagonal 690
Barcelona, 08034
Spain

Universidad de Murcia - Departamento de Metodos Cuantitativos ( email )

Campus de Espinardo
30100 Murcia
Spain
+34 968 367 982 (Phone)

Gabriel Perez-Quiros

Banco de España ( email )

Madrid 28014
Spain

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