Markov-switching stochastic trends and economic fluctuations
نویسنده
چکیده
I investigate cointegrating relationships such that, even though the long-run attractors are assumed to be linear, the dynamics of the equilibrium errors depends on the business cycle. I postulate a Markov-switching common stochastic trends model to study both the short-run responses to permanent shocks and the e/ects of recessions in the long-run growth. I apply these 0ndings to explore the shortand long-run asymmetric relationships among output, consumption and investment. ? 2004 Elsevier B.V. All rights reserved. JEL classi cation: C32; C51; E32
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