The duration of business cycle expansions and contractions: are there change-points in duration dependence?

Abstract

Th he e d du ur ra at ti io on n o of f b bu us si in ne es ss s c cy yc cl le e e ex xp pa an ns si io on ns s a an nd d c co on nt tr ra ac ct ti io on ns s: : A Ar re e t th he er re e c ch ha an ng ge e-p po oi in nt ts s i in n d du ur ra at ti io on n d de ep pe en nd de en nc ce e? ?" " V Vi it to or r C Ca as st tr ro o NIPE WP 24/ 2010 " "T Th he e d du ur ra at ti io on n o of f b bu us si in ne es ss s c cy yc cl le e e ex xp pa an ns si io on ns s a an nd d c co on nt tr ra ac ct ti io on ns s: : A Ar re e t th he er re e c ch ha an ng ge e-p po oi in nt ts s i in n d du ur ra at ti io on n d de ep pe en nd de en nc ce e? ?" " V Vi it to or r C Ca as st tr ro o N NI IP PE E *

Business cycle duration dependence and foreign recessions

“…First, duration dependence of expansions is only statistically significant for the United States and Germany (see 2 ). This finding of positive 6 duration dependence is in line with evidence for developed economies in Castro (2010Castro ( , 2013 and US evidence (Zuehlke, 2003;Layton and Smith 2007). It suggests that expansions in the United States and Germany are more likely to end as time progresses.…”

“…We use the monthly business cycle chronologies from ECRI for the G7 countries. The duration dependence studies by Castro (2010Castro ( , 2013 have also used the ECRI business cycle peaks and troughs. The ECRI business cycle dating has some advantages.…”

“…Early findings in the literature by Diebold et al (1993) show positive duration dependence of pre-war expansions in the United Kingdom, Germany and France. Castro (2010Castro ( , 2013 analyses the duration dependence for 13 industrial economies post-WW II. He reports positive duration dependence for expansions and contractions.…”

“…He reports positive duration dependence for expansions and contractions. Castro (2010Castro ( , 2013, however, pools the business cycles of countries in a panel analysis, whereas we investigate the business cycle of each G7 country separately. This allows us to analyse and discuss country differences.…”

Trgovinsko-Tehnološki Rat Amerike I Kine Kao Početak Novog Hladnog Rata?

“…Economic expansions do not end and give way to recessions only because they have lasted long (Castro 2013;Diebold and Rudebusch 1999;Rudebusch 2016). Instead, they tend to end as a reflection of corrections from imbalances accumulated over the business cycle.…”