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Permanent and Transitory Components of Recessions (1999)
| Citations: | 30 - 4 self |
BibTeX
@MISC{Kim99permanentand,
author = {Chang-Jin Kim and Christian J. Murray},
title = {Permanent and Transitory Components of Recessions},
year = {1999}
}
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Abstract
We propose a generalization of existing business cycle models which allows us to decompose recessions into permanent and transitory components. We find that the transitory component of recessions accounts for between 77% and 96% of the observed variance of monthly indicator series. Our results suggest the following three phase characterization of the business cycle: recession, high-growth recovery during which output partially reverts to its previous peak, and normal growth following the recovery. In addition, we find significant timing differences between the permanent and transitory components of recessions; most notably the lack of the usual high-growth recovery phase following the 1990-91 recession. JEL Codes: C32, E32 Kim: Department of Economics, Korea University, Seoul, 136-701, Korea (cjkim@kuccnx.korea.ac.kr); Murray: (Corresponding author) Department of Economics, University of Houston, Houston, TX 77204-5882 (cjmurray@uh.edu), Tel: 713-743-3835, Fax: 713-743-3798 1 1. In...
Keyphrases
transitory component korea university business cycle model 1990-91 recession tx 77204-5882 recession account cjkim kuccnx corresponding author monthly indicator series business cycle previous peak e32 kim observed variance normal growth jel code usual high-growth recovery phase significant timing difference cjmurray uh phase characterization high-growth recovery
