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Duration Dependence in Korean Business Cycles

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Authors
Kim, MyungJig
Issue Date
1996
Publisher
Seoul Journal of Economics
Citation
Seoul Journal of Economics 9 (No. 2 1996): 123-144
Keywords
business cycle; dynamic factor index; regime-switching model
Abstract
The hypothesis of business cycle duration dependence is tested by estimating the Hamilton regime-switching model with duration dependence using the Gibbs sampler. Data are two versions of the index of coincident indicators; (linear) dynamic factor index of Stock and Watson (1989) and (nonlinear) dynamic Markov switching factor index of Diebold and Rudebusch (1994). When the Gibbs sampler is applied to the duration dependent regime-switching model using quarterly Korean business cycle indices for the 1977:1 1994:4 period, this paper finds that the probability of a transition into an recession increases as the expansion ages, and somewhat weaker evidence for the reverse. Example of out-of-sample forecast for business cycle turning points is also provided.
ISSN
1225-0279
Language
English
URI
http://hdl.handle.net/10371/1079
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College of Social Sciences (사회과학대학)Institute of Economics Research (경제연구소)Seoul Journal of EconomicsSeoul Journal of Economics vol.09(2) (Summer 1996)
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