THE GREAT RECESSION: THE WORST EVER?

We develop an international comparative assessment of the Great Recession, in terms of the features that characterize the form of the recession phases, namely length, depth and shape. The potential unobserved heterogeneity in the international recession characteristics is modeled by a finite mixture...

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Bibliographic Details
Published in:Revista de economía aplicada 2018-04, Vol.26 (76), p.73-100
Main Authors: Camacho, Máximo, Gadea, María Dolores, Pérez-Quirós, Gabriel
Format: Article
Language:English
Subjects:
Algorithms
Approximation
Bayesian analysis
Business cycles
Economic activity
GDP
Great Recession
Gross Domestic Product
Income distribution
International comparisons
Recessions
Sampling
Securities markets
Studies
Time series
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Summary:We develop an international comparative assessment of the Great Recession, in terms of the features that characterize the form of the recession phases, namely length, depth and shape. The potential unobserved heterogeneity in the international recession characteristics is modeled by a finite mixture model. Using Bayesian inference via Gibbs sampling, the model classifies the Great Recession suffered by a large number of countries into different clusters, determining its severity in cross section and time series and dimensions. Our results suggest that the business cycle features of the Great Recession are not different from others in an international perspective. By contrast, we show that the only distinctive feature of the Great Recession was its unprecedented degree of synchronicity.
ISSN:2632-7627