The possible shapes of recoveries in Markov-Switching models

@inproceedings{Bec2011ThePS,
  title={The possible shapes of recoveries in Markov-Switching models},
  author={Fr{\'e}d{\'e}rique Bec and Othman Bouabdallah and Laurent Ferrara},
  year={2011}
}
This paper explores the various shapes the recoveries may exhibit within a MarkovSwitching model. It relies on the bounce-back effects first analyzed by Kim, Morley and Piger (2005) and extends the methodology by proposing i) a more flexible bounce-back model, ii) explicit tests to select the appropriate bounce-back function, if any, and iii) a suitable measure of the permanent impact of recessions. This approach is then applied to post-WWII quarterly growth rates of US, UK and French real GDPs… CONTINUE READING

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