Keywords: Recessions, Markov Switching Models
Abstract: This work estimates Markov switching models on real time data and shows that the growth rate of gross domestic income (GDI), deflated by the GDP deflator, has done a better job recognizing the start of recessions than has the growth rate of real GDP. This result suggests that placing an increased focus on GDI may be useful in assessing the current state of the economy. In addition, the paper shows that the definition of a low-growth phase in the Markov switching models has changed over the past couple of decades. The models increasingly define this phase as an extended period of around zero
rather than negative growth, diverging somewhat from the traditional definition of a recession.
Full paper (584 KB PDF)
| Full Paper (Screen Reader Version)
Home | FEDS | List of 2007 FEDS papers
To comment on this site, please fill out our feedback form.
Last update: May 10, 2007