Reconstruction of Pre-war U.S. Business Cycle Dates Using Markov Regime-Switching Model

• 영문명: Reconstruction of Pre-war U.S. Business Cycle Dates Using Markov Regime-Switching Model
• 발행기관: 한국외국어대학교 영미연구소
• 저자명: 황영진(youngjin Hwang)
• 간행물 정보: 『영미연구』제21집, 239~259쪽, 전체 21쪽
• 주제분류: 어문학 > 영어와문학
• 파일형태: PDF
• 발행일자: 2009.12.30

영문 초록

This article attempts to (re)assess the post-war stabilization hypothesis for U.S. economy. Unlike most works that look at the issue in terms of volatility and/or amplitude aspect of business cycles, I approach the stabilization issue from the duration perspective, in line with Diebold and Rudebusch (1992) and Watson (1994). One of the distinguishing features of the article is, in identifying the pre-war boom and recession periods, to employ the Markov regime-switching model and construct alternative pre-war business cycle reference dates. These newly constructed business cycle dates from the regime-switching model provide useful and significant implications for pre-war business cycle fluctuations. Finally, based on the newly created dates, I test the post-war stabilization hypothesis. The empirical results largely support the hypothesis.

목차

1. Markov-Switching Model and Derivation of New Pre-war Business Cycle Turning Points.

2. Empirical Results

3. Test of Post-war Stabilization: Duration Perspective

4. Concluding Remarks

Works cited

Abstract

키워드

Markov regime-switching model post-war stabilization hypothesis business cycle duration 마르코프 국면 전환 모형 전후 거시경제 안정화 가설 경기 국면 지속성