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

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

Author Info

Luis A. Gil-Alana () (Facultad de Ciencias Económicas y Empresariales, Universidad de Navarra)
Antonio Moreno () (Facultad de Ciencias Económicas y Empresariales, Universidad de Navarra)

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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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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:
Handle: RePEc:una:unccee:wp0209

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Find related papers by JEL classification:
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

This paper has been announced in the following NEP Reports:

NEP-ALL-2009-02-14 (All new papers)
NEP-ECM-2009-02-14 (Econometrics)
NEP-ETS-2009-02-14 (Econometric Time Series)
NEP-MAC-2009-02-14 (Macroeconomics)

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This page was last updated on 2009-10-23.

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