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Output fluctuations in the G-7: an unobserved components approach

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journal contribution
posted on 2023-01-24, 11:02 authored by Sinchan MitraSinchan Mitra, Tara M Sinclair
This paper proposes a multivariate unobserved-components model to simultaneously decompose the real GDP for each of the G-7 countries into its respective trend and cycle components. In contrast to previous literature, our model allows for explicit correlation between all the contemporaneous trend and cycle shocks. We find that all the G-7 countries have highly variable stochastic permanent components for output, even once we allow for structural breaks. We also find that common restrictions on the correlations between trend and cycle shocks are rejected by the data. In particular, we find that correlations across permanent and transitory shocks are important both within and across countries.

History

School

  • Business and Economics

Department

  • Business

Published in

Macroeconomic Dynamics

Volume

16

Issue

3

Pages

396 - 422

Publisher

Cambridge University Press

Version

AM (Accepted Manuscript)

Rights holder

© Cambridge University Press

Publisher statement

This article has been published in a revised form in Macroeconomic Dynamics https://doi.org/10.1017/s1365100510000647. This version is published under a Creative Commons CC-BY-NC-ND licence. No commercial re-distribution or re-use allowed. Derivative works cannot be distributed. © Cambridge University Press.

Publication date

2011-12-12

Copyright date

2011

ISSN

1365-1005

eISSN

1469-8056

Language

en

Depositor

Dr Sinchan Mitra. Deposit date: 23 January 2023