Permanent and transitory components of recessions

Chang Jin Kim, Christian J. Murray

Research output: Contribution to journalArticlepeer-review

36 Citations (Scopus)


We propose a generalization of existing empirical business cycle models that allows us to decompose recessions into permanent and transitory components. We find that the transitory component of recessions accounts for between 77% and 96% of the observed variance of monthly indicator series. Our results suggest the following three-phase characterization of the business cycle: recession, high-growth recovery during which output partially reverts to its previous peak, and normal growth following the recovery. In addition, we find significant timing differences between the permanent and transitory components of recessions; most notably the lack of the usual high-growth recovery phase following the 1990-91 recession.

Original languageEnglish
Pages (from-to)163-183
Number of pages21
JournalEmpirical Economics
Issue number2
Publication statusPublished - 2002 Mar


  • Business cycle asymmetry
  • Comovement
  • Partial peak-reversion

ASJC Scopus subject areas

  • Statistics and Probability
  • Mathematics (miscellaneous)
  • Social Sciences (miscellaneous)
  • Economics and Econometrics


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