Regime-switching Models of the Business Cycle
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Soques, Daniel. Regime-switching Models of the Business Cycle. Chapel Hill, NC: University of North Carolina at Chapel Hill Graduate School, 2015. https://doi.org/10.17615/8jgy-bq36APA
Soques, D. (2015). Regime-switching Models of the Business Cycle. Chapel Hill, NC: University of North Carolina at Chapel Hill Graduate School. https://doi.org/10.17615/8jgy-bq36Chicago
Soques, Daniel. 2015. Regime-Switching Models of the Business Cycle. Chapel Hill, NC: University of North Carolina at Chapel Hill Graduate School. https://doi.org/10.17615/8jgy-bq36- Last Modified
- March 19, 2019
- Creator
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Soques, Daniel
- Affiliation: College of Arts and Sciences, Department of Economics
- Abstract
- A popular way to describe the business cycle is as a movement between distinct phases of expansion and recession. During expansions, output growth and employment are relatively high, whereas recessions are characterized by sluggish output growth and high unemployment. Hamilton (1989) used regime-switching models to describe this evolution of the business cycle. In this dissertation, I extend the model of Hamilton (1989) to address a number of prevalent macroeconomic questions regarding business cycle comovement. First, in joint work with Neville Francis and Michael T. Owyang, we assess the leading role played by U.S. in the global economy by analyzing if U.S. output growth informs the timing of business cycle turning points of other nations. We find that the U.S. economic growth influences both the timing and duration of business cycle phases for Canada, Germany, the United Kingdom, and, to a lesser extent, Mexico. Conversely, we find no relationship between U.S. output growth and the business cycles of France, Italy, and Japan. In the second paper, again with Neville Francis and Michael T. Owyang, we study the comovement of international business cycles in a time series clustering model with regime-switching. We extend the framework of Hamilton and Owyang (2012) to include time-varying transition probabilities to determine what drives similarities in business cycle turning points. We find three groups of countries which experience idiosyncratic recessions relative to the global business cycle. Additionally, we find the primary indicator of international recessions to be large movements in asset prices. In a third paper with James D. Hamilton and Michael T. Owyang, we extend Hamilton and Owyang (2012) which examined the comovements of state-level business cycles using a clustered Markov-switching approach. Here, we consider whether industries also comove and, if so, whether this comovement is limited to subsectors within a single industry classification. We find four industry clusters, with their composition implying some degree of propagation of recessions up the production chain.
- Date of publication
- December 2015
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- In Copyright
- Advisor
- Francis, Neville
- Ghysels, Eric
- Owyang, Michael
- Hill, Jonathan
- Parke, William
- Degree
- Doctor of Philosophy
- Degree granting institution
- University of North Carolina at Chapel Hill Graduate School
- Graduation year
- 2015
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- Place of publication
- Chapel Hill, NC
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- There are no restrictions to this item.
- Date uploaded
- January 21, 2016
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