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Title: Jump-and-Rest Effects of US Business Cycles

Author(s): Maximo Camacho and Gabriel Pérez-Quirós

Publication Date: March 2005

Keyword(s): business cycles, output growth and time series

Programme Area(s): International Macroeconomics

Abstract: One of the most extended empirical stylized facts about output dynamics in the United States is the positive autocorrelation of output growth. This paper shows that the positive autocorrelation can be better captured by shifts between business cycle states rather than by the standard view of autoregressive coefficients. This result is extremely robust to different non-linear alternative models and also applies not only to output, but also to the most relevant macroeconomic variables.

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Bibliographic Reference

Camacho, M and Pérez-Quirós, G. 2005. 'Jump-and-Rest Effects of US Business Cycles'. London, Centre for Economic Policy Research. https://cepr.org/active/publications/discussion_papers/dp.php?dpno=4975