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Fractional integration and structural breaks in U.S. macro dynamics

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  • Luis Gil-Alana
  • Antonio Moreno

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Abstract

This paper identifies structural breaks in the post-World War II joint dynamics of U.S. inflation, unemployment and the short-term interest rate. We derive a structural break-date procedure which allows for long-memory behavior in all three series and perform the analysis for alternative data frequencies. Both long-memory and short-run coefficients are relevant for characterizing the changing patterns of U.S. macroeconomic dynamics. We provide an economic interpretation of those changes by examining the link between macroeconomic events and structural breaks.

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File URL: http://hdl.handle.net/10.1007/s00181-011-0475-y
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Bibliographic Info

Article provided by Springer in its journal Empirical Economics.

Volume (Year): 43 (2012)
Issue (Month): 1 (August)
Pages: 427-446

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Handle: RePEc:spr:empeco:v:43:y:2012:i:1:p:427-446

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Related research

Keywords: Fractional integration; Structural breaks; Multivariate analysis; Inflation dynamics; C32; C51; E31; E32; E52;

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References

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Citations

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Cited by:
  1. Marcel Aloy & Mohamed Boutahar & Karine Gente & Anne Peguin-Feissolle, 2010. "Fractional integration and cointegration in stock prices and exchange rates," Working Papers halshs-00536140, HAL.
  2. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2007. "Long Run and Cyclical Dynamics in the US Stock Market," CESifo Working Paper Series 2046, CESifo Group Munich.
  3. Marcel Aloy & Mohamed Boutahar & Karine Gente & Anne Peguin-Feissolle, 2011. "Purchasing power parity and the long memory properties of real exchange rates: does one size fit all?," Working Papers halshs-00559170, HAL.
  4. Ouattara, Bazoumana & Amegashie, J. Atsu & Strobl, Eric, 2009. "Moral Hazard and the Composition of Transfers: Theory with an Application to Foreign Aid," Proceedings of the German Development Economics Conference, Frankfurt a.M. 2009 24, Verein für Socialpolitik, Research Committee Development Economics.
  5. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2006. "Modelling Structural Breaks In The Us, Uk And Japanese Unemployment Rates," Economics and Finance Discussion Papers 06-10, Economics and Finance Section, School of Social Sciences, Brunel University.

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