Search Results
Journal Article
The macroeconomic effects of inflation targeting
Journal Article
International perspectives on the \"Great Moderation\"
Working Paper
Identifying business cycle turning points in real time
This paper evaluates the ability of a statistical regime-switching model to identify turning points in U.S. economic activity in real time. The authors work with Markov-switching models of real GDP and employment that, when estimated on the entire post-war sample, provide a chronology of business cycle peak and trough dates very close to that produced by the National Bureau of Economic Research (NBER). Next, they investigate how accurately and quickly the models would have identified turning points had they been used in real-time for the past forty years. In general, the models identify ...
Journal Article
Is all that talk just noise?
Journal Article
Consumer confidence surveys: do they boost forecasters' confidence?
Economic forecasters rely on monthly consumer confidence surveys to help them determine the current and future states of the economy. But how reliable are these surveys?
Working Paper
The less volatile U.S. economy: a Bayesian investigation of timing, breadth, and potential explanations
Using Bayesian tests for a structural break at an unknown break date, 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 1980's, 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 ...
Journal Article
Is the business cycle still an inventory cycle?
Working Paper
Markov regime-switching and unit root tests
We investigate the power and size performance of unit root tests when the true data generating process undergoes Markov regime-switching. All tests, including those robust to a single break in trend growth rate, have very low power against a process with a Markov-switching trend growth rate as in Lam (1990). However, for the case of business cycle non-linearities, unit root tests are very powerful against models used as alternatives to Lam (1990) that specify regime-switching in the transitory component of output. Under the null hypothesis, the received literature documents size distortions ...
Journal Article
Was the recent economic downturn a recession?
Journal Article
Pushing on a string