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Author:Piger, Jeremy M. 

Working Paper
Permanent and transitory components of business cycles: their relative importance and dynamic relationship

This paper investigates the relationship between permanent and transitory components of U.S. recessions in an empirical model allowing for business cycle asymmetry. Using a common stochastic trend representation for real GNP and consumption, we divide real GNP into permanent and transitory components, the dynamics of which are different in booms vs. recessions. We find evidence of substantial asymmetries in postwar recessions, and that both the permanent and transitory component have contributed to these recessions. We also allow for the timing of switches from boom to recession for the ...
International Finance Discussion Papers , Paper 703

Journal Article
Are inflation expectations rising from the ashes?

Monetary Trends , Issue Nov

Journal Article
Is the business cycle still an inventory cycle?

National Economic Trends , Issue Jan

Working Paper
The dynamic relationship between permanent and transitory components of U.S. business cycles

This paper investigates the dynamic relationship between permanent and transitory components of post-war U.S. business cycles. We specify a time-series model for real GNP and consumption in which the two share a common stochastic trend and transitory component, and Markov-regime switching is used to model business cycle phases in these components. The timing of switches between business cycle phases is allowed to differ across the permanent and transitory components. We find strong evidence of a lead-lag relationship between the switches in the two components. Specifically, switches in the ...
Working Papers , Paper 2001-017

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 ...
International Finance Discussion Papers , Paper 707

Journal Article
Getting real about monetary policy

Monetary Trends , Issue Jan

Journal Article
Was the recent economic downturn a recession?

National Economic Trends , Issue Aug

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
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 ...
FRB Atlanta Working Paper , Paper 2002-27

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?
The Regional Economist , Issue Apr , Pages 10-11


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