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On the typical spectral shape of an economic variable

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Author Info
Daniel Levy
Hashem Dezhbakhsh

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Abstract

In a classic article, Granger (Econometrica 34 , 1966) asserted that most economic time series measured in level have spectra that exhibit a smooth declining shape with considerable power at very low frequencies. There has been no systematic attempt to examine Granger's assertion with international data. Output level spectra are estimated for 58 countries, divided into developed, high-income developing, and low-income developing groups. The shapes of the estimated spectra are found to be strikingly similar to Granger's typical shape, particularly for the developed countries.

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Publisher Info
Article provided by Taylor and Francis Journals in its journal Applied Economics Letters.

Volume (Year): 10 (2003)
Issue (Month): 7 (May)
Pages: 417-423
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Handle: RePEc:taf:apeclt:v:10:y:2003:i:7:p:417-423

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Edward C. Prescott, 1986. "Theory ahead of business cycle measurement," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Fall, pages 9-22. [Downloadable!]
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  2. Granger, C.W.J. & Watson, Mark W., 1984. "Time series and spectral methods in econometrics," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 17, pages 979-1022 Elsevier. [Downloadable!] (restricted)
  3. Robert G. King & Mark W. Watson, 1995. "Money, prices, interest rates and the business cycle," Working Paper Series, Macroeconomic Issues 95-10, Federal Reserve Bank of Chicago.
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  4. Levy, Daniel & Dezhbakhsh, Hashem, 2003. "International evidence on output fluctuation and shock persistence," Journal of Monetary Economics, Elsevier, vol. 50(7), pages 1499-1530, October. [Downloadable!] (restricted)
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  5. Daniel Levy, 2000. "Investment-Saving Comovement and Capital Mobility: Evidence from Century Long U.S. Time Series," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 3(1), pages 100-137, January. [Downloadable!] (restricted)
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  6. Blanchard, Olivier Jean & Quah, Danny, 1989. "The Dynamic Effects of Aggregate Demand and Supply Disturbances," American Economic Review, American Economic Association, vol. 79(4), pages 655-73, September. [Downloadable!] (restricted)
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  7. Lucas, Robert E, Jr, 1980. "Two Illustrations of the Quantity Theory of Money," American Economic Review, American Economic Association, vol. 70(5), pages 1005-14, December. [Downloadable!] (restricted)
  8. John Y. Campbell & N. Gregory Mankiw, 1989. "International Evidence on the Persistence of Economic Fluctuations," NBER Working Papers 2498, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  9. Carpenter, Robert E & Levy, Daniel, 1998. "Seasonal Cycles, Business Cycles, and the Comovement of Inventory Investment and Output," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 30(3), pages 331-46, August.
  10. Cochrane, John H, 1988. "How Big Is the Random Walk in GNP?," Journal of Political Economy, University of Chicago Press, vol. 96(5), pages 893-920, October. [Downloadable!] (restricted)
  11. Marianne Baxter & Robert G. King, 1995. "Measuring Business Cycles Approximate Band-Pass Filters for Economic Time Series," NBER Working Papers 5022, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  12. Lawrence H. Summers, 1984. "The Nonadjustment of Nominal Interest Rates: A Study of the Fisher Effect," NBER Working Papers 0836, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  13. Levy, Daniel & Chen, Haiwei, 1994. "Estimates of the Aggregate Quarterly Capital Stock for the Post-war U.S. Economy," Review of Income and Wealth, Blackwell Publishing, vol. 40(3), pages 317-49, September.
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  14. Daniel Levy, 2005. "Output, Capital, and Labor in the Short, and Long-Run," Development and Comp Systems 0505012, EconWPA. [Downloadable!]
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Crowley , Patrick & Maraun , Douglas & Mayes , David, 2006. "How hard is the euro are core? An evaluation of growth cycles using wavelet analysis," Research Discussion Papers 18/2006, Bank of Finland. [Downloadable!]
  2. Leon, Costas & Eeckels, Bruno, 2009. "A Dynamic Correlation Approach of the Swiss Tourism Income," MPRA Paper 15215, University Library of Munich, Germany. [Downloadable!]
  3. David E. Giles & Chad N. Stroomer, 2004. "Identifying the Cycle of a Macroeconomic Time-Series Using Fuzzy Filtering," Econometrics Working Papers 0406, Department of Economics, University of Victoria. [Downloadable!]
  4. Benk, Szilárd & Gillman, Max & Kejak, Michal, 2009. "US Volatility Cycles of Output and Inflation, 1919-2004: A Money and Banking Approach to a Puzzle," CEPR Discussion Papers 7150, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Other versions:
  5. Jean Imbs & Paolo Mauro, 2007. "Pooling Risk Among Countries," IMF Working Papers 07/132, International Monetary Fund. [Downloadable!]
    Other versions:
  6. Daniel Levy & Hashem Dezhbakhsh, 2004. "International Evidence on Output Fluctuation and Shock Persistence," Macroeconomics 0402016, EconWPA. [Downloadable!]
    Other versions:
  7. Crowley , Patrick & Lee , Jim, 2005. "Decomposing the co-movement of the business cycle: a time-frequency analysis of growth cycles in the euro area," Research Discussion Papers 12/2005, Bank of Finland. [Downloadable!]
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