Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
9555846 | Journal of Economic Dynamics and Control | 2005 | 24 Pages |
Abstract
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 effects of recessions in the long-run growth. I apply these findings to explore the short- and long-run asymmetric relationships among output, consumption and investment.
Related Topics
Physical Sciences and Engineering
Mathematics
Control and Optimization
Authors
Maximo Camacho,