Search Results

Showing results 1 to 10 of approximately 45.

(refine search)
SORT BY: PREVIOUS / NEXT
Author:Piger, Jeremy M. 

Working Paper
A state-level analysis of the Great Moderation

A number of studies have documented a reduction in aggregate macroeconomic volatility beginning in the early 1980s. Using an empirical model of business cycles, we extend this line of research to state-level employment data and find significant heterogeneity in the timing and magnitude of the state-level volatility reductions. In fact, some states experience no statistically-important reductions in volatility. We then exploit this cross sectional heterogeneity to evaluate hypotheses about the origin of the aggregate volatility reduction. We show that states with relatively high concentrations ...
Working Papers , Paper 2007-003

Journal Article
International perspectives on the \"Great Moderation\"

International Economic Trends , Issue Aug

Working Paper
The less volatile U.S. economy: a Bayesian investigation of timing, breadth, and potential explanations

Using a Bayesian model comparison strategy, we search for a volatility reduction within the post-war sample for the growth rates of U.S. aggregate and disaggregate real GDP. We find that the growth rate of aggregate real GDP has been less volatile since the early 1980s, and that this volatility reduction is concentrated in the cyclical component of real GDP. The growth rates of many of the broad production sectors of real GDP display similar reductions in volatility, suggesting the aggregate volatility reduction does not have a narrow source. We also find a large volatility reduction in ...
Working Papers , Paper 2001-016

Working Paper
Contagious Switching

We analyze the propagation of recessions across countries. We construct a model that allows for multiple qualitative state variables in a vector autoregression (VAR) setting. The VAR structure allows us to include country-level variables to determine whether policy also propagates across countries. We consider two different versions of the model. One version assumes the discrete state of the economy (expansion or recession) is observed. The other assumes that the state of the economy is unobserved and must be inferred from movements in economic growth. We apply the model to Canada, Mexico, ...
Working Papers , Paper 2019-014

Journal Article
Is the business cycle still an inventory cycle?

National Economic Trends , Issue Jan

Working Paper
The economic performance of cities: a Markov-switching approach

This paper examines the determinants of employment growth in metro areas. To obtain growth rates, we use a Markov-switching model that separates a city?s growth path into two distinct phases (high and low), each with its own growth rate. The simple average growth rate over some period is, therefore, the weighted average of the high-phase and low-phase growth rates, with the weight being the frequency of the two phases. We estimate the effects of a variety of factors separately for the high-phase and low-phase growth rates, along with the frequency of the low phase. We find that growth in the ...
Working Papers , Paper 2006-056

Working Paper
The use and abuse of \"real-time\" data in economic forecasting

We distinguish between three different ways of using real-time data to estimate forecasting equations and argue that the most frequently used approach should generally be avoided. The point is illustrated with a model that uses monthly observations of industrial production, employment, and retail sales to predict real GDP growth. When the model is estimated using our preferred method, its out-of-sample forecasting performance is clearly superior to that obtained using conventional estimation, and compares favorably with that of the Blue-Chip consensus.
International Finance Discussion Papers , Paper 684

Working Paper
A steady-state approach to trend/cycle decomposition of regime-switching processes

In this paper, we present a new approach to trend/cycle decomposition under the assumption that the trend is the permanent component and the cycle is the transitory component of an integrated time series. The permanent component is defined as the steady-state level of the series, a definition that has exploitable forecasting implications useful for identification. We operationalize the steady-state approach for regime-switching processes and we use generated data from such processes to demonstrate the advantages of the steady-state approach over alternative approaches to trend/cycle ...
Working Papers , Paper 2004-006

Journal Article
The 2001 recession and the states of the Eighth Federal Reserve District

Regional Economic Development , Issue Nov , Pages 3-16

Journal Article
The macroeconomic effects of inflation targeting

Review , Volume 86 , Issue Jul , Pages 51-80

FILTER BY year

FILTER BY Content Type

FILTER BY Jel Classification

C32 2 items

E32 2 items

C13 1 items

C82 1 items

FILTER BY Keywords

PREVIOUS / NEXT