The Possible Shapes of Recoveries in Markov-Switching Models
Copyright policy )The Possible Shapes of Recoveries in Markov-Switching Models
This paper explores the various shapes the recoveries may exhibit within a Markov- Switching model. It relies on the bounce-back effects first analyzed by Kim, Morley and Piger (2005) and extends the methodology by proposing i) a more flexible bounce-back model, ii) explicit tests to select the appropriate bounce-back function, if any, and iii) a suitable measure of the permanent impact of recessions. This approach is then applied to post-WWII quarterly growth rates of US, UK and French real GDPs.
Markov-Switching models; bounce-back effects; asymmetric business cycles., Markov-Switching models, bounce-back effects, asymmetric business cycles., jel: jel:E32, jel: jel:C22
Markov-Switching models; bounce-back effects; asymmetric business cycles., Markov-Switching models, bounce-back effects, asymmetric business cycles., jel: jel:E32, jel: jel:C22
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