KDI 한국개발연구원 - 경제정책정보 - 국내외연구자료 주제 - 경제일반 - 경제일반 -

본문

경제정책정보

유관기관의 다양한 자료를 한 곳에서 살펴보실 수 있습니다.

세미나

Business cycle dynamics after the Great Recession: An extended Markov-Switching Dynamic Factor Model

OECD 2020.01.16
페이스북
The Great Recession and the subsequent period of subdued GDP growth in most advanced economies have highlighted the need for macroeconomic forecasters to account for sudden and deep recessions, periods of higher macroeconomic volatility, and fluctuations in trend GDP growth. In this paper, we put forward an extension of the standard Markov-Switching Dynamic Factor Model (MS-DFM) by incorporating two new features: switches in volatility and time-variation in trend GDP growth. First, we show that volatility switches largely improve the detection of business cycle turning points in the low-volatility environment prevailing since the mid-1980s. It is an important result for the detection of future recessions since, according to our model, the US economy is now back to a low-volatility environment after an interruption during the Great Recession. Second, our model also captures a continuous decline in the US trend GDP growth that started a few years before the Great Recession and continued thereafter. These two extensions of the standard MS-DFM framework are supported by information criteria, marginal likelihood comparisons and improved real-time GDP forecasting performance.

가입하신 이동통신사의 요금제에 따라
데이터 요금이 과다하게 부가될 수 있습니다.

파일을 다운로드하시겠습니까?
KDI 연구 카테고리
상세검색