Nonlinearity and the permanent effects of recessions
提出一种新的非线性时间序列模型，捕捉经济衰退后总产出的反弹效应。应用于美国实际GDP发现，衰退的永久效应很小；应用于其他国家则发现永久效应较大。
Abstract This paper presents a new nonlinear time series model that captures a post‐recession ‘bounce‐back’ in the level of aggregate output. While a number of studies have examined this type of business cycle asymmetry using recession‐based dummy variables and threshold models, we relate the ‘bounce‐back’ effect to an endogenously estimated unobservable Markov‐switching state variable. When the model is applied to US real GDP, we find that the Markov‐switching regimes are closely related to NBER‐dated recessions and expansions. Also, the Markov‐switching form of nonlinearity is statistically significant and the ‘bounce‐back’ effect is large, implying that the permanent effects of recessions are small. Meanwhile, having accounted for the ‘bounce‐back’ effect, we find little or no remaining serial correlation in the data, suggesting that our model is sufficient to capture the defining features of US business cycle dynamics. When the model is applied to other countries, we find larger permanent effects of recessions. Copyright © 2005 John Wiley & Sons, Ltd.