International Evidence on the Persistence of Economic Fluctuations
AbstractThis paper presents new evidence on the persistence of fluctuations in real GNP. We estimate two measures of persistence nonparametrically using post-war quarterly data from Canada, France, Germany, Italy, Japan, the United Kingdom, and the United States. We compare these estimates with Monte Carlo results from various AR(2) processes. For six out of seven countries, the point estimates indicate that a 1% shock to output should change the long-run unvariate forecast of output by well over 1%. Low-order ARMA models yield similar conclusions. Finally, we examine the persistence in relative outputs of different countries.
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Bibliographic InfoPaper provided by Harvard University Department of Economics in its series Scholarly Articles with number 3224417.
Date of creation: 1989
Date of revision:
Publication status: Published in Journal of Monetary Economics
Other versions of this item:
- Campbell, John Y. & Mankiw, N. Gregory, 1989. "International evidence on the persistence of economic fluctuations," Journal of Monetary Economics, Elsevier, vol. 23(2), pages 319-333, March.
- 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.
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