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Do large recessions reduce output permanently?

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  • Hosseinkouchack, Mehdi
  • Wolters, Maik H.

Abstract

We apply a recent quantile autoregression unit root test to US GDP. The test takes into account that the transmission of a shock might depend on the sign and the size of the shock. We find that positive and negative shocks including large recessionary shocks like the 2008/2009 crisis have permanent effects on output.

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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 121 (2013)
Issue (Month): 3 ()
Pages: 516-519

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Handle: RePEc:eee:ecolet:v:121:y:2013:i:3:p:516-519

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Web page: http://www.elsevier.com/locate/ecolet

Related research

Keywords: Unit root tests; Quantile autoregression; GDP; Recessions; Asymmetries;

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References

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Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Large GDP shocks are permanent
    by Economic Logician in Economic Logic on 2013-01-17 15:57:00
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Cited by:
  1. Tillmann, Peter & Wolters, Maik Hendrik, 2012. "The changing dynamics of US inflation persistence: A quantile regression approach," IMFS Working Paper Series 60, Institute for Monetary and Financial Stability (IMFS), Goethe University Frankfurt.

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