| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP13626
|
| DP13626 Duration Dependence in US Expansions: A re-examination of the evidence |
| Franck Portier; Paul Beaudry
|
| 发表日期 | 2019-03-27
|
| 出版年 | 2019
|
| 语种 | 英语
|
| 摘要 | It is commonly accepted that economic expansions do not exhibit duration dependence, that is, the probability of an expansion terminating in the near future is thought to be independent of the length of the expansion. Our main focus is on determining the probability of the US economy entering a recession in the following year (or following two years) conditional on the expansion having lasted q quarters. When looking at the probability of entering a recession within a year (or 2 years), we find considerable evidence of economically significant duration dependence, especially when adopting a non-parametric approach. For example, for an expansion that has lasted only 5 quarters, the probability of entering a recession in the next year is around 10%, while this increases to 30-40% if the expansion has lasted over 35 quarters. Similarly, if looking at a two years window, we find the probability of entering a recession in the next two years raises from 25-30% to around 50-80% as the expansion extends from 5 quarters to 32 quarters. This pattern suggests that certain types of macroeconomic vulnerabilities may be accumulating as the expansion ages causing the arrival of a recession to become more likely. Our non-parametric estimates suggest that this later pattern is especially important once a recession has lasted more than 6 years. |
| 主题 | Monetary Economics and Fluctuations
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| 关键词 | Recessions
Business cycles
|
| URL | https://cepr.org/publications/dp13626
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| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/542484
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推荐引用方式
GB/T 7714 |
Franck Portier,Paul Beaudry. DP13626 Duration Dependence in US Expansions: A re-examination of the evidence. 2019.
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