具有特定制度参数的马尔可夫转换模型:战后繁荣还是衰退都是一样的?

Yunjong Eo, Chang‐Jin Kim
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引用次数: 12

摘要

本文放宽了Hamilton(1989)经济周期两态马尔可夫切换模型中特定制度平均增长率恒定的假设。我们首先提出了一个基准模型,其中每个特定制度的平均增长率根据不同繁荣或衰退时期的随机游走过程演变。然后,我们通过推导和施加实际产出长期均衡增长率存在的条件,提出了一个具有特定制度平均增长率矢量误差修正动力学的模型。在本文开发的贝叶斯马尔可夫链蒙特卡罗(MCMC)方法中,反事实先验和特定状态参数的分层先验起着至关重要的作用。通过将提出的方法应用于战后美国实际GDP增长(1947:Q4-2011:Q3),我们揭示了美国商业周期中具体制度的实际产出平均增长率的演变性质。我们发现,战后美国商业周期的另一个特征是长期均衡产出增长的稳步下降。这种下降始于20世纪50年代,结束于21世纪头十年。我们的实证结果也提供了部分(如果不是决定性的)证据,表明在异常严重的衰退之后,央行在将经济恢复到长期均衡增长路径上可能比在异常良好的繁荣之后更成功。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Markov-Switching Models with Evolving Regime-Specific Parameters: Are Post-War Booms or Recessions All Alike?
In this paper, we relax the assumption of constant regime-specific mean growth rates in Hamilton's (1989) two-state Markov-switching model of the business cycle. We first present a benchmark model, in which each regime-specific mean growth rate evolves according to a random walk process over different episodes of booms or recessions. We then present a model with vector error correction dynamics for the regime-specific mean growth rates, by deriving and imposing a condition for the existence of a long-run equilibrium growth rate for real output. In the Bayesian Markov Chain Monte Carlo (MCMC) approach developed in this paper, the counterfactual priors, as well as the hierarchical priors for the regime-specific parameters, play critical roles. By applying the proposed approach to postwar U.S. real GDP growth (1947:Q4-2011:Q3), we uncover the evolving nature of the regime-specific mean growth rates of real output in the U.S. business cycle. An additional feature of the postwar U.S. business cycle that we uncover is a steady decline in the long-run equilibrium output growth. The decline started in the 1950s and ended in the 2000s. Our empirical results also provide partial, if not decisive, evidence that the central bank may have been more successful in restoring the economy back to its long-run equilibrium growth path after unusually severe recessions than after unusually good booms.
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