Discussion paper

DP4975 Jump-and-Rest Effects of US Business Cycles

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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Citation

Pérez-Quirós, G and M Camacho (eds) (2005), “DP4975 Jump-and-Rest Effects of US Business Cycles”, CEPR Press Discussion Paper No. 4975. https://cepr.org/publications/dp4975