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International Evidence on Output Fluctuation and Shock Persistence

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  • Daniel Levy

    ()
    (Department of Economics and Emory University)

  • Hashem Dezhbakhsh

    (Emory University)

Abstract

We estimate output growth rate spectra for 58 countries. The spectra exhibit diverse shapes. To study the sources of this diversity, we estimate the short-run, business cycle, and long-run frequency components of the sampled series. For most OECD countries the bulk of the spectral mass is in the business cycle frequency band, and the magnitude of this cyclical component increases with income. For the developing countries, however, the spectral mass is not concentrated in the business cycle frequency band, and the income-cycle relationship is not as strong. We also estimate two frequency domain measures of shock persistence and find both measures to vary considerably across countries, with the U.S. having the lowest estimates. For the OECD countries most of the variation in the variance ratio statistic appears to be explained by the variation in the long-term growth component.-

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Paper provided by Department of Economics, Bar-Ilan University in its series Working Papers with number 2002-17.

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Date of creation: Dec 2002
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Handle: RePEc:biu:wpaper:2002-17

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Postal: Faculty of Social Sciences, Bar Ilan University 52900 Ramat-Gan
Phone: Phone: +972-3-5318345
Fax: +972-3-7384034
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Web page: http://econ.biu.ac.il
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Keywords: Business Cycles; Developing Countries; OECD Countries; Output Growth; Shock Persistence; and Spectral Analysis.;

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  1. Cogley, T., 1989. "International Evidence On The Size Of The Random Walk In Output," Working Papers 89-02, University of Washington, Department of Economics.
  2. Daniel Levy & Haiwei Chen, 2005. "Estimates of the Aggregate Quarterly Capital Stock for the Post- War U.S. Economy," Others 0505008, EconWPA, revised 16 May 2005.
  3. Zarnowitz, Victor, 1992. "Business Cycles," National Bureau of Economic Research Books, University of Chicago Press, number 9780226978901.
  4. Meltzer, Allan H., 1990. "Unit roots, investment measures and other essays," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 32(1), pages 1-6, January.
  5. Daniel Levy & Hashem Dezhbakhsh, 2002. "On the Typical Spectral Shape of an Economic Variable," Working Papers 2002-16, Department of Economics, Bar-Ilan University.
  6. 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.
  7. Edward C. Prescott, 1986. "Theory ahead of business cycle measurement," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Fall, pages 9-22.
  8. Kraay, Aart & Ventura, Jaume, 2001. "Comparative Advantage and the Cross-Section of Business Cycles," CEPR Discussion Papers 3000, C.E.P.R. Discussion Papers.
  9. 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.
  10. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May.
  11. John Y. Campbell & N. Gregory Mankiw, 1988. "International Evidence on the Persistence of Economic Fluctuations," NBER Working Papers 2498, National Bureau of Economic Research, Inc.
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  13. 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.
  14. Alan C. Stockman, 1987. "Sectoral and National Aggregate Disturbances to Industrial Output in Seven European Countries," NBER Working Papers 2313, National Bureau of Economic Research, Inc.
  15. 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.
  16. 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.
  17. Romer, Christina D., 1994. "Remeasuring Business Cycles," The Journal of Economic History, Cambridge University Press, vol. 54(03), pages 573-609, September.
  18. Watson, Mark W., 1986. "Univariate detrending methods with stochastic trends," Journal of Monetary Economics, Elsevier, vol. 18(1), pages 49-75, July.
  19. 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.
  20. John Hassler & Petter Lundvik & Torsten Persson & Paul Soderlind, 1992. "The Swedish business cycle: stylized facts over 130 years," Discussion Paper / Institute for Empirical Macroeconomics 63, Federal Reserve Bank of Minneapolis.
  21. Kormendi, Roger C & Meguire, Philip, 1990. "A Multicountry Characterization of the Nonstationarity of Aggregate Output," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 22(1), pages 77-93, February.
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