Has the U.S. Economy Become More Stable? A Bayesian Approach Based on a Markov-Switching Model of Business Cycle

Has the U.S. Economy Become More Stable? A Bayesian Approach Based on a Markov-Switching Model of Business Cycle (1999)

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by Chang-Jin Kim , Charles R. Nelson

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TITLE	Has the U.S. Economy Become More Stable? A Bayesian Approach Based on a Markov-Switching Model of Business Cycle	user correction - Legacy Corrections
AUTHOR NAME	Chang-Jin Kim	user correction - Legacy Corrections
AUTHOR AFFIL	Korea University	user correction - Legacy Corrections
AUTHOR NAME	Charles R. Nelson	user correction - Legacy Corrections
AUTHOR AFFIL	; University of Washington; Forthcoming, Review of Economics and Statistics; Kim: Dept. of Economics, Korea University, Anam-dong; Korea (cjkim@kuccnx.korea.ac.kr); Nelson: Dept. of Economics, University of Washington,	user correction - Legacy Corrections
AUTHOR ADDR	; Seongbuk-ku, Seoul, 136-701,; Box 353330, Seattle, WA, 98195, USA (cnelson@u.washington.edu). We thank the	user correction - Legacy Corrections
ABSTRACT	We hope to be able to provide answers to the following questions: 1) Has there been a structural break in postwar U.S. real GDP growth toward more stabilization? 2) If so, when would it have been? 3) What's the nature of the structural break? For this purpose, we employ a Bayesian approach to dealing with structural break at an unknown changepoint in a Markov-switching model of business cycle. Empirical results suggest that there has been a structural break in U.S. real GDP growth toward more stabilization, with the posterior mode of the break date around 1984:1. Furthermore, we #nd a narrowing gap between growth rates during recessions and booms is at least as important as a decline in the volatility of shocks. Key Words: Bayes Factor, Gibbs sampling, Marginal Likelihood, Markov-Switching, Stabilization, Structural Break. JEL Classi#cations: C11, C12, C22, E32. 1. Introduction In the literature, the issue of postwar stabilization of the U.S. economy relative to the prewar period has...	user correction - Legacy Corrections
YEAR	1999	user correction - Legacy Corrections
CITATIONS	39 found	ParsCit 1.0