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International Evidence on Output Fluctuation and Shock Persistence

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  • Daniel Levy

    (Bar-Ilan & Emory)

  • Hashem Dezhbakhsh

    (Emory)

Abstract

We estimate output growth rate spectra for 58 countries. The spectra exhibit diverse shapes. To study the sources of this diversity, we estimate the short-run, business cycle, and long-run frequency components of the sampled series. For most OECD countries the bulk of the spectral mass is in the business cycle frequency band, and the magnitude of this cyclical component increases with income. For the developing countries, however, the spectral mass is not concentrated in the business cycle frequency band, and the income-cycle relationship is not as strong. We also estimate two frequency domain measures of shock persistence and find both measures to vary considerably across countries, with the U.S. having the lowest estimates. For the OECD countries most of the variation in the variance ratio statistic appears to be explained by the variation in the long-term growth component.

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Bibliographic Info

Paper provided by EconWPA in its series Macroeconomics with number 0402016.

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Length: 49 pages
Date of creation: 07 Feb 2004
Date of revision:
Handle: RePEc:wpa:wuwpma:0402016

Note: Type of Document - pdf; prepared on Win 98; to print on Any printer; pages: 49 ; figures: Figures are included
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Web page: http://128.118.178.162

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Keywords: Business Cycles; Developing Countries; OECD Countries; Output Fluctuation; Output Growth; Shock Persistence; Spectral Analysis; Frequency Domain; Short Run; Long Run; Frequency Component; Income-Cycle Relationship; Variance Ratio Statistic;

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Cited by:
  1. Crowley , Patrick & Maraun , Douglas & Mayes , David, 2006. "How hard is the euro are core? An evaluation of growth cycles using wavelet analysis," Research Discussion Papers 18/2006, Bank of Finland.
  2. Parhi, Mamata & Mishra, Tapas, 2009. "Spatial growth volatility and age-structured human capital dynamics in Europe," Economics Letters, Elsevier, vol. 102(3), pages 181-184, March.
  3. Imbs, Jean & Mauro, Paolo, 2007. "Pooling Risk Among Countries," CEPR Discussion Papers 6461, C.E.P.R. Discussion Papers.
  4. Young, Andrew & Higgins, Matthew & Levy, Daniel, 2006. "Heterogeneous Convergence," MPRA Paper 954, University Library of Munich, Germany.
  5. Andrew Hallett & Christian Richter, 2006. "Measuring the Degree of Convergence among European Business Cycles," Computational Economics, Society for Computational Economics, vol. 27(2), pages 229-259, May.
  6. Daniel Levy & Hashem Dezhbakhsh, 2002. "On the Typical Spectral Shape of an Economic Variable," Working Papers 2002-16, Department of Economics, Bar-Ilan University.
  7. Tom Holden, 2012. "Medium-frequency cycles and the remarkable near trend-stationarity of output," School of Economics Discussion Papers 1412, School of Economics, University of Surrey.
  8. Crowley , Patrick & Lee , Jim, 2005. "Decomposing the co-movement of the business cycle: a time-frequency analysis of growth cycles in the euro area," Research Discussion Papers 12/2005, Bank of Finland.
  9. Mallick, Debdulal, 2009. "Financial Development, Shocks, and Growth Volatility," MPRA Paper 17799, University Library of Munich, Germany.
  10. Yang, Zan & Wang, Songtao & Campbell, Robert, 2010. "Monetary policy and regional price boom in Sweden," Journal of Policy Modeling, Elsevier, vol. 32(6), pages 865-879, November.
  11. Christian Richter & Andrew Hughes Hallett, 2005. "A Time-Frequency Analysis of the Coherences of the US Business," Computing in Economics and Finance 2005 45, Society for Computational Economics.
  12. James Laurenceson, 2011. "The Persistence Characteristics of Output Growth in China: How Important is the Business Cycle?," Discussion Papers Series 430, School of Economics, University of Queensland, Australia.
  13. Andrew Hughes Hallett & Christian Richter, 2006. "Is the convergence of business cycles a global or regional issue? The UK, US and Euroland," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(3), pages 177-194.
  14. Frey, Rainer, 2009. "The design of an asymmetric currency union with shock persistence and spillovers: Short-term versus medium-term," European Journal of Political Economy, Elsevier, vol. 25(1), pages 85-97, March.
  15. Mishra, Tapas & Jumah, Adusei & Parhi, Mamata, 2008. "Age-structured Human Capital and Spatial Total Factor Productivity Dynamics," Economics Series 226, Institute for Advanced Studies.

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