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

Mitra, Sinchan and Sinclair, Tara (2012) Output fluctuations in the G-7: An unobserved components approach. Macroeconomic Dynamics, 16 (3). pp. 396-422. ISSN 1365-1005

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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.

Item Type: Article
Uncontrolled Keywords: business cycle
Faculty \ School: Faculty of Social Sciences > School of Economics
Depositing User: LivePure Connector
Date Deposited: 24 Sep 2021 01:06
Last Modified: 31 Jan 2024 03:11
URI: https://ueaeprints.uea.ac.uk/id/eprint/81510
DOI: 10.1017/S1365100510000647

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