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Stochastic Trends and Economic Fluctuations

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Author Info
Robert G. King
Charles I. Plosser
James H. Stock
Mark W. Watson

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Abstract

Recent developments in macroeconomic theory emphasize that transient economic fluctuations can arise as responses to changes in long run factors -- in particular, technological improvements -- rather than short run factors. This contrasts with the view that short run fluctuations and shifts in long run trends are largely unrelated. We examine empirically the effect of shifts in stochastic trends that are common to several macroeconomic series. Using a linear time series model related to a VAR, we consider first a system with GNP, consumption and investment with a single common stochastic trend; we then examine this system augmented by money and prices and an additional stochastic trend. Our results suggest that movements in the "real" stochastic trend account for one-half to two-thirds of the variation in postwar U.S. GNP.

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Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 2229.

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Date of creation: Feb 1992
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Publication status: published as The American Economic Review, Vol. 81 No. 4, pp. 819-840, (September 1991).
Handle: RePEc:nbr:nberwo:2229

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