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International Evidence on the Size of the Random Walk in Output

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Cogley, Timothy

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Abstract

This paper contributes three extensions of John H. Cochrane's work on measuring the relative stability of long-term growth. It estimates variance ratios for nine OECD countries over the period 1871-1985, presents an improved approximation to the distribution of the variance ratio, and considers the comovements of long growth cycles across countries. The evidence indicates that the relative stability of long-term growth found by Cochrane is unique to the United States. Relative to the United States, most countries have more variable dynamics at low frequencies and smoother dynamics at frequencies traditionally associated with business cycles. Copyright 1990 by University of Chicago Press.

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Publisher Info
Article provided by University of Chicago Press in its journal Journal of Political Economy.

Volume (Year): 98 (1990)
Issue (Month): 3 (June)
Pages: 501-18
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Handle: RePEc:ucp:jpolec:v:98:y:1990:i:3:p:501-18

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  1. Juncal Cunado & Luis A. Gil-Alana & Fernando Pérez de Gracia, 2003. "Additional Empirical Evidence on Real Convergence: A Fractionally Integrated Approach," Faculty Working Papers 01/03, School of Economics and Business Administration, University of Navarra. [Downloadable!]
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  2. Butler, L, 1996. "The Bank of Canada's New Quarterly Porjection Model Part 4 : A Semi- Structural Method to Estimate Potential Output : Combining Economic Theory with a Time-Series Filter," Technical Reports 77, Bank of Canada. [Downloadable!]
  3. Yin-Wong Cheung & Menzie Chinn, 1995. "Deterministic, stochastic and segmented trends in aggregate output: A cross-country analysis," Macroeconomics 9508005, EconWPA. [Downloadable!]
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  4. Christian Gollier, 2005. "The Consumption-Based Determinants of the Term Structure of Discount Rates," CESifo Working Paper Series CESifo Working Paper No. , CESifo GmbH. [Downloadable!]
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  5. Robert J. Barro, 2006. "On the Welfare Costs of Consumption Uncertainty," NBER Working Papers 12763, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  6. John H. Cochrane, 1994. "Univariate vs. Multivariate Forecasts of GNP Growth and Stock Returns: Evidence and Implications for the Persistence of Shocks, Detrending Methods," NBER Working Papers 3427, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  7. Timothy Cogley, 1997. "Evaluating non-structural measures of the business cycle," Economic Review, Federal Reserve Bank of San Francisco, pages 3-21. [Downloadable!]
  8. Massimo Guidolin, 2005. "Home bias and high turnover in an overlapping generations model with learning," Working Papers 2005-012, Federal Reserve Bank of St. Louis. [Downloadable!]
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  9. Robert J. Barro, 2007. "Rare Disasters, Asset Prices, and Welfare Costs," NBER Working Papers 13690, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  10. Roberto M. Samaniego, 2008. "Entry, Exit and Business Cycles in a General Equilibrium Model," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 11(3), pages 529-541, July. [Downloadable!] (restricted)
  11. Daniel Levy & Hashem Dezhbakhsh, 2004. "International Evidence on Output Fluctuation and Shock Persistence," Macroeconomics 0402016, EconWPA. [Downloadable!]
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  12. Anindya Banerjee & Robin L. Lumsdaine, 1990. "Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis: Theory and International Evidence," NBER Working Papers 3510, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  13. Robert J. Barro & José F. Ursúa, 2008. "Macroeconomic Crises since 1870," NBER Working Papers 13940, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  14. Antonio Fatás, 2002. "The Effects of Business Cycles on Growth," Working Papers Central Bank of Chile 156, Central Bank of Chile. [Downloadable!]
  15. Kevin Lee, 1998. "Cross-country interdependencies in growth dynamics: A model of output growth in the G7 economies, 1960–1994," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 134(3), pages 367-403, September. [Downloadable!] (restricted)
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