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