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Large shocks in U.S. macroeconomic time series: 1860-1988

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  • Olivier Darne

    (LEMNA - Laboratoire d'économie et de management de Nantes Atlantique - Université de Nantes : EA4272)

  • Amélie Charles

    ()
    (Audencia Recherche - Audencia)

Abstract

In this paper, we examine the large shocks due to major economic or financial events that affected U.S. macroeconomic time series on the period 1860-1988, using outlier methodology. We show that most of these shocks have a temporary effect, showing that the U.S. macroeconomic time series experienced only few large permanent shifts in the long term. Most of these large shocks can be explained by major recessions and World War II as well as by monetary policy for the interest rate data. We also find that some economic events seem to have the same effect (immediate, transitory or permanent) on a number of macroeconomic series. Finally, we show that most macroeconomic time series do not seem inconsistent with a stochastic trend once we adjusted the data for these shocks.

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Bibliographic Info

Paper provided by HAL in its series Post-Print with number hal-00771828.

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Date of creation: 2011
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Publication status: Published, Cliometrica, 2011, 5, 79-100
Handle: RePEc:hal:journl:hal-00771828

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Cited by:
  1. Charles, Amélie & Darné, Olivier, 2014. "Large shocks in the volatility of the Dow Jones Industrial Average index: 1928–2013," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 188-199.
  2. Charles, Amélie & Darné, Olivier, 2012. "Trends and random walks in macroeconomic time series: A reappraisal," Journal of Macroeconomics, Elsevier, vol. 34(1), pages 167-180.

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