Common stochastic trends, common cycles, and asymmetry in economic fluctuations
نویسندگان
چکیده
منابع مشابه
Common stochastic trends, cycles and sectoral fluctuations: a study of output in the UK
Two alternative methodologies are compared for identifying common trends and cycles in a set of variables. One, following Harvey, uses an unobserved components structural time series model. The other, following Vahid and Engle, is based on a multivariate BeveridgeNelson decomposition. Both approaches are applied to a four sector model of output in the UK over the period 1970Q1-1993Q2, producing...
متن کاملCommon cycles and economic uctuations
In this paper we analyze both theoretically and empirically the identifying restrictions on the impulse response functions, implied by the presence of common trends and common cycles. The notion of a complete set of common cycles is exploited to provide a data{dependent orthogonalization of disturbances, keeping separate the contribution to the permanent and transitory components of economic uc...
متن کاملMarkov-switching stochastic trends and economic fluctuations
I investigate cointegrating relationships such that, even though the long-run attractors are assumed to be linear, the dynamics of the equilibrium errors depends on the business cycle. I postulate a Markov-switching common stochastic trends model to study both the short-run responses to permanent shocks and the e/ects of recessions in the long-run growth. I apply these 0ndings to explore the sh...
متن کاملCommon Trends and Common Cycles in Canada: Who Knew So Much Has Been Going On?
It is generally accepted that convergence is well established for regional Canadian per capita outputs. The authors present evidence that long-run movements are driven by two stochastic common trends in this time series. This evidence casts doubt on the convergence hypothesis for Canada. Another prevalent belief is that Canada forms an optimal currency area (OCA). The authors uncover three seri...
متن کاملNew Evidence on Balanced Growth, Stochastic Trends, and Economic Fluctuations
The one-sector Solow-Ramsey growth model informs how most modern researchers characterize macroeconomic trends and cycles, and evidence supporting the model’s balanced growth predictions is often cited. This paper shows, however, that the inclusion of recent data leads to the balanced growth predictions being rejected. An alternative balanced growth hypothesis—that the ratio of nominal consumpt...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Monetary Economics
سال: 2002
ISSN: 0304-3932
DOI: 10.1016/s0304-3932(02)00146-0