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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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File URL: http://128.118.178.162/eps/mac/papers/0402/0402016.pdf
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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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