08-069/4 - The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model

• Authors
  Drew Creal, VU University Amsterdam; Siem Jan Koopman, VU University Amsterdam; Eric Zivot, University of Washington
• Publication date
  July 17, 2008

• Keywords
  Bandpass filter; Markov chain Monte Carlo; Stochastic volatility; Trend-cycle decomposition; Unobserved components time series model
• JEL
  C11; C32; E32