International Evidence on the Persistence of Economic Fluctuations
AbstractThis paper presents new evidence on the persistence of fluctuations in real GNP. Two measures of persistence are estimated non-parametrically using post-war quarterly data from Canada, France, Germany, Italy, Japan, the United Kingdom. and the United States. These estimates are compared with Monte Carlo results from various AR(2) processes. For six out of seven countries, the results indicate that a 1 percent shock to output should change the long-run univariate forecast of output by well over I percent. Low-order ARM models for output growth are also estimated, and yield similar conclusions. Finally, the persistence in relative outputs of different countries is examined.
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Bibliographic InfoPaper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 2498.
Date of creation: Jan 1988
Date of revision:
Publication status: published as Journal of Monetary Economics, Vol. 23, no.2, pp. 319-333, (March 1989).
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Postal: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.
Web page: http://www.nber.org
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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, Elsevier, vol. 23(2), pages 319-333, March.
- Mankiw, N. Gregory & Campbell, John, 1989. "International Evidence on the Persistence of Economic Fluctuations," Scholarly Articles 3224417, Harvard University Department of Economics.
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