English, Article, Journal or magazine article edition: A New Approach to the Analysis of Business Cycle Transitions in a Model of Output and Employment Hans-Martin Krolzig; Juan Toro

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Bookmark: http://trove.nla.gov.au/version/20273
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • A New Approach to the Analysis of Business Cycle Transitions in a Model of Output and Employment
Author
  • Hans-Martin Krolzig
  • Juan Toro
Physical Description
  • preprint
Notes
  • This paper proposes a new framework for the impulse-response analysis of business cycle transitions. A cointegrated vector autoregressive Markov-switching model is found to be a congruent representation of post-war US employment and output data. In this model some parameters change according to the phase of the business cycle which effects employment and output simultaneously. The long run dynamics are characterized by a cointegrating vector including employment, output and a trend as a proxy for technological progress and capital accumulation. Short-run and long-run dynamics are jointly estimated in a Markov-switching vector-equilibrium-correction model with three regimes representing recession, growth and high growth. For the analysis of the dynamics of output and employment, a new set of impulse-response exercises is considered.
  • business cycles, impulse-response analysis, cointegration, regime shifts, Markov switching, labour hoarding
  • RePEc:oxf:wpaper:059
Language
  • English
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