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

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  • Olivier Darné

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

  • Amélie Charles

    (Audencia Nantes, School of Management - Audencia, School of Management)

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 these shocks can have temporary or permanent effects on the series and that most of them can be explained by the Great Depression, World War II and recessions as well as by monetary policy for the interest rate data. We also find that macroeconomic time series do not seem inconsistent with a stochastic trend once we adjusted the data of these shocks.

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Paper provided by HAL in its series Working Papers with number hal-00422502.

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Date of creation: 2009
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Handle: RePEc:hal:wpaper:hal-00422502

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Cited by:
  1. 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.
  2. 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.

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