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Jump-and-rest effect of U.S. business cycles

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Issue Date
2005
Physical description
41 p.
Abstract
One of the most extended empirical stylized facts about output dynamics in the United States is the positive autocorrelation of output growth. This paper shows that the positive autocorrelation can be better captured by shifts between business cycle states rather than by the standard view of autoregressive coefficients. This result is extremely robust to different nonlinear alternative models and also applies not only to output but to the most relevant macroeconomic variables.[resumen de autor]
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Documentos de trabajo / Banco de España, 0507
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