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Permanent and Transitory Components of Business Cycles

其他書名	Their Relative Importance and Dynamic Relationship
出版	Board of Governors of the Federal Reserve System, 2001
URL	http://books.google.com.hk/books?id=CPO3AAAAIAAJ&hl=&source=gbs_api

註釋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 permanent component to be correlated with switches from boom to recession in the transitory component. The parameter estimates suggest a specific pattern of recessions: switches in the permanent component lead switches in the transitory component both when entering and leaving recessions.