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Fractional Integration and Structural Breaks in U.S. Macro Dynamics

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  • Luis A. Gil-Alana

    ()
    (Facultad de Ciencias Económicas y Empresariales, Universidad de Navarra)

  • Antonio Moreno

    ()
    (Facultad de Ciencias Económicas y Empresariales, Universidad de Navarra)

Abstract

This paper identifies structural breaks in the post-World War II joint dynamics of U.S. inflation, unemployment and the short-term interest rate. We derive a structural break-date procedure which allows for long-memory behavior in all three series and perform the analysis for alternative data frequencies. Both long-memory and short-run coefficients are relevant for characterizing the changing patterns of U.S. macroeconomic dynamics. We provide an economic interpretation of those changes by examining the link between macroeconomic events and structural breaks.

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File URL: http://www.unav.es/facultad/econom/files/workingpapersmodule/@random497080f7805d2/1233309644_WP_UNAV_02_09.pdf
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Bibliographic Info

Paper provided by School of Economics and Business Administration, University of Navarra in its series Faculty Working Papers with number 02/09.

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Length: 53 pages
Date of creation: 20 Jan 2009
Date of revision:
Publication status: Forthcoming on EMPIRICAL ECONOMICS
Handle: RePEc:una:unccee:wp0209

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Web page: http://www.unav.es/facultad/econom

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Keywords: Fractional integration; structural breaks; multivariate analysis; inflation dynamics;

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Citations

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Cited by:
  1. Marcel Aloy & Mohamed Boutahar & Karine Gente & Anne Peguin-Feissolle, 2010. "Fractional integration and cointegration in stock prices and exchange rates," Working Papers halshs-00536140, HAL.
  2. Marcel Aloy & Mohamed Boutahar & Karine Gente & Anne Peguin-Feissolle, 2011. "Purchasing power parity and the long memory properties of real exchange rates: does one size fit all?," Working Papers halshs-00559170, HAL.
  3. Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2004. "Long-run and Cyclical Dynamics in the US Stock Market," Economics Series 155, Institute for Advanced Studies.
  4. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2006. "Modelling Structural Breaks In The Us, Uk And Japanese Unemployment Rates," Economics and Finance Discussion Papers 06-10, Economics and Finance Section, School of Social Sciences, Brunel University.
  5. Ouattara, Bazoumana & Amegashie, J. Atsu & Strobl, Eric, 2009. "Moral Hazard and the Composition of Transfers: Theory with an Application to Foreign Aid," Proceedings of the German Development Economics Conference, Frankfurt a.M. 2009 24, Verein für Socialpolitik, Research Committee Development Economics.

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