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Working Paper 2009-013A

"The Propagation of Regional Recessions"
by James D. Hamilton, and Michael T. Owyang

This paper develops a framework for inferring common Markov-switching components in a panel data set with large cross-section and time-series dimensions. We apply the framework to studying similarities and differences across U.S. states in the timing of business cycles. We hypothesize that there exists a small number of cluster designations, with individual states in a given cluster sharing certain business cycle characteristics. We find that although oil-producing and agricultural states can sometimes experience a separate recession from the rest of the United States, for the most part, differences across states appear to be a matter of timing, with some states entering recession or recovering before others.

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Category > Applied Econometrics
Category > Monetary Policy/Macroeconomics
Category > Regional Economics
Author > Michael T. Owyang
Research Papers and Publications: JEL Code > C11
Research Papers and Publications: JEL Code > C32
Research Papers and Publications: JEL Code > E32