The Dynamic Relationship between Permanent and Transitory Components of U.S. Business Cycles
研究美国二战后商业周期中永久成分与暂时成分的动态关系，发现永久成分的转换在进入衰退时领先于暂时成分。
This paper investigates the dynamic relationship between permanent and transitory components of post‐war U.S. business cycles. We specify a time‐series model for real GNP and consumption in which the two share a common stochastic trend and transitory component, and Markov‐regime switching is used to model business cycle phases in these components. The timing of switches between business cycle phases is allowed to differ across the permanent and transitory components. We find strong evidence of a lead‐lag relationship between the switches in the two components. Specifically, switches in the permanent component leads switches in the transitory component when entering recessions.