International Evidence on Output Fluctuation and Its Persistence *

Granger (1966) identifies, what he terms, " the typical spectral shape " for several US macroeconomic series measured in level. King and Watson (1996) report that the growth rates of many US macroeconomic series have similar spectral shapes, although markedly different than the shape Granger identifies for level series. We estimate the spectra of post war output level and growth rate series for 57 countries grouped into developed, high-income, and low-income developing economies. Our most robust finding is that output series measured in level have strikingly similar spectra which exhibit Granger's typical shape. The output growth rate series, however, exhibit diverse patterns. To further explore the implications of such diversity, we estimate the short-run, the business cycle, and the long run frequency components of growth series and obtain two frequency domain measures of shock persistence for each series. An interesting result, which parallels King and Watson's for the US, is the large magnitude of the business cycle component in nearly all the output series examined. We also find output growth rates for most countries to exhibit a considerably higher shock persistence than for the US, and the crosscountry distribution of the shock persistence measure to be more dispersed across the high income group. Finally, we find that the predictability of the cyclical component of the output growth increases with the extent of development. Macroeconomic implications are discussed.