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Newsletter
A regional perspective on the U.S. business cycle
Kouparitsas, Michael A. (2002-11)
Chicago Fed Letter , Issue Nov

Working Paper
A steady-state approach to trend/cycle decomposition of regime-switching processes
Piger, Jeremy M.; Morley, James (2005)
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

Working Paper
Learning and the Great Moderation
Singh, Aarti; Bullard, James B. (2009)
We study a stylized theory of the volatility reduction in the U.S. after 1984?the Great Moderation?which attributes part of the stabilization to less volatile shocks and another part to more difficult inference on the part of Bayesian households attempting to learn the latent state of the economy. We use a standard equilibrium business cycle model with technology following an unobserved regime-switching process. After 1984, according to Kim and Nelson (1999a), the variance of U.S. macroeconomic aggregates declined because boom and recession regimes moved closer together, keeping conditional ...
Working Papers , Paper 2007-027

Report
Using switching models to study business cycle asymmetries: 1. overview of methodology and application
Boldin, Michael D. (1992)
Switching Models are advocated as interesting and tractable alternatives to conventional, linear models of the business cycle. Applications are motivated by the belief that expansions and recessions are distinct regimes with different data generating processes. Therefore, it is important that econometric specifications capture this fundamental asymmetry. With Switching Models, both the time-periods and characteristics of business cycle regimes can be derived simultaneously. Asymmetries can then be tested with a minimum of prior modeling assumptions and restrictions. Results with monthly data ...
Research Paper , Paper 9211

Conference Paper
New financial world: policy shortcomings and remedies
Kaufman, Henry (1998-06)
Conference Series ; [Proceedings] , Volume 42 , Issue Jun , Pages 359-370

Working Paper
Endogenous business cycles and the dynamics of output, hours, and consumption
Schmitt-Grohe, Stephanie (1998)
This paper studies the business-cycle fluctuations predicted by a two-sector endogenous-business-cycle model with sector-specific external increasing returns to scale. It focuses on aspects of actual fluctuations that have been identified both as defining features of the business cycle and as ones that standard real-business-cycle models cannot explain: the autocorrelation function of output growth, the impulse response function of output to demand shocks, and the forecastable movements of output, hours, and consumption. For empirically realistic calibrations of the degree of sector-specific ...
Finance and Economics Discussion Series , Paper 1998-19

Conference Paper
Commentary : understanding the Greenspan standard
Taylor, John B. (2005-08)
Proceedings - Economic Policy Symposium - Jackson Hole , Issue Aug , Pages 107-118

Conference Paper
Commentary : separating the business cycle from other economic fluctuations
Mankiw, N. Gregory (2005-08)
Proceedings - Economic Policy Symposium - Jackson Hole , Issue Aug , Pages 187-192

Journal Article
Changes in inventory management and the business cycle
Allen, Donald S. (1995-07)
Review , Issue Jul , Pages 17-26

Working Paper
Partisan cycles and the consumption volatility puzzle
Azzimonti-Renzo, Marina; Talbert, Matthew (2011)
Standard real business cycle theory predicts that consumption should be smoother than output, as observed in developed countries. In emerging economies, however, consumption is more volatile than income. In this paper the authors provide a novel explanation of this phenomenon, the ?consumption volatility puzzle,? based on political frictions. They develop a dynamic stochastic political economy model where parties that disagree on the size of government (right-wing and left-wing) alternate in power and face aggregate uncertainty. While productivity shocks affect only consumption through ...
Working Papers , Paper 11-21

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