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Reference: Hans-Martin Krolzig and Juan Toro, (2001). A New Approach to the Analysis of Business Cycle Transitions in a Model of Output and Employment. Department of Economics (University of Oxford).Citable link to this page:

 

A New Approach to the Analysis of Business Cycle Transitions in a Model of Output and Employment Series: Discussion paper series

Abstract: This paper proposes a new framework for the impulse-response analysis of businesscycle transitions. A cointegrated vector autoregressive Markov-switching model is foundto be a congruent representation of post-war US employment and output data. In thismodel some parameters change according to the phase of the business cycle which effectsemployment and output simultaneously. The long run dynamics are characterizedby a cointegrating vector including employment, output and a trend as a proxy for technologicalprogress and capital accumulation. Short-run and long-run dynamics are jointlyestimated in a Markov-switching vector-equilibrium-correction model with three regimesrepresenting recession, growth and high growth. For the analysis of the dynamics of outputand employment, a new set of impulse-response exercises is considered.

Bibliographic Details

Issue Date: 2001Identifiers

Urn: uuid:f897e845-f9ec-4e0a-bf15-902d9be5e57f Item Description

Type: info:eu-repo/semantics/workingPaper;

Language: en Tiny URL: ora:1096

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Author: Hans-Martin Krolzig - - - Juan Toro - - - - Bibliographic Details Issue Date: 2001 - Identifiers Urn: uuid:f897e845-f9ec-4e0a-bf1

Source: https://ora.ox.ac.uk/objects/uuid:f897e845-f9ec-4e0a-bf15-902d9be5e57f



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