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A New Approach to the Analysis of Business Cycle Transitions in a Model of Output and Employment

Abstract:

This paper proposes a new framework for the impulse-response analysis of business cycle transitions. A cointegrated vector autoregressive Markov-switching model is found to be a congruent representation of post-war US employment and output data. In this model some parameters change according to the phase of the business cycle which effects employment and output simultaneously. The long run dynamics are characterized by a cointegrating vector including employment, output and a trend as a proxy...

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Publisher:
Department of Economics (University of Oxford)
Series:
Discussion paper series
Publication date:
2001-01-01
Language:
English
UUID:
uuid:f897e845-f9ec-4e0a-bf15-902d9be5e57f
Local pid:
ora:1096
Deposit date:
2011-08-16

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