Recent Changes in the U.S. Business Cycle

37 Pages Posted: 9 Aug 2006

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 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.

Keywords: business cycle, recession, dynamic factor, bayesian

JEL Classification: E52, C53

Suggested Citation

Chauvet, Marcelle and Potter, Simon, Recent Changes in the U.S. Business Cycle (April 2001). FRB of New York Staff Report No. 126. Available at SSRN: https://ssrn.com/abstract=923147 or http://dx.doi.org/10.2139/ssrn.923147

Marcelle Chauvet

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 (Contact Author)

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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