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On the Typical Spectral Shape of an Economic Variable

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  • Daniel Levy

    (Bar-Ilan & Emory)

  • Hashem Dezhbakhsh

    (Emory)

Abstract

In a classical article, Granger (1966) argued that the levels of most economic time series have spectra that exhibit a smooth declining shape with considerable power at very low frequencies. He termed it "the typical spectral shape of an economic variable." Granger's assertion has not been examined systematically with international data. We estimate output level spectra for 58 countries, divided into developed, high- income developing, and low-income developing groups. We find the shapes of the estimated spectra to be strikingly similar to Granger's typical shape, particularly for the developed countries.

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File URL: http://128.118.178.162/eps/mac/papers/0402/0402017.pdf
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Bibliographic Info

Paper provided by EconWPA in its series Macroeconomics with number 0402017.

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Length: 17 pages
Date of creation: 07 Feb 2004
Date of revision:
Handle: RePEc:wpa:wuwpma:0402017

Note: Type of Document - pdf; prepared on Win 98; to print on Any printer; pages: 17; figures: Figures are included
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Web page: http://128.118.178.162

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Keywords: Spectral Analysis; Spectral Shape; Power Spectrum; Frequency Domain Analysis; Typical Spectral Shape; Output Level; OECD; Developing Countries; Spectral Peak; Common Features;

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References

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  1. Lucas, Robert E, Jr, 1980. "Two Illustrations of the Quantity Theory of Money," American Economic Review, American Economic Association, vol. 70(5), pages 1005-14, December.
  2. Lawrence H. Summers, 1982. "The Nonadjustment of Nominal Interest Rates: A Study of the Fisher Effect," NBER Working Papers 0836, National Bureau of Economic Research, Inc.
  3. Daniel Levy & Hashem Dezhbakhsh, 2004. "International Evidence on Output Fluctuation and Shock Persistence," Macroeconomics 0402016, EconWPA.
  4. Daniel Levy, 2005. "Investment-Saving Comovement and Capital Mobility: Evidence from Century Long U.S. Time Series," International Finance 0505006, EconWPA, revised 16 May 2005.
  5. King, Robert G & Watson, Mark W, 1996. "Money, Prices, Interest Rates and the Business Cycle," The Review of Economics and Statistics, MIT Press, vol. 78(1), pages 35-53, February.
  6. Granger, C.W.J. & Watson, Mark W., 1984. "Time series and spectral methods in econometrics," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 17, pages 979-1022 Elsevier.
  7. Prescott, Edward C., 1986. "Theory ahead of business-cycle measurement," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 25(1), pages 11-44, January.
  8. Levy, Daniel & Chen, Haiwei, 1994. "Estimates of the Aggregate Quarterly Capital Stock for the Post-war U.S. Economy," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 40(3), pages 317-49, September.
  9. Olivier Jean Blanchard & Danny Quah, 1988. "The Dynamic Effects of Aggregate Demand and Supply Disturbances," NBER Working Papers 2737, National Bureau of Economic Research, Inc.
  10. Cochrane, John H, 1988. "How Big Is the Random Walk in GNP?," Journal of Political Economy, University of Chicago Press, vol. 96(5), pages 893-920, October.
  11. Daniel Levy, 2005. "Output, Capital, and Labor in the Short, and Long-Run," Development and Comp Systems 0505012, EconWPA.
  12. Marianne Baxter & Robert G. King, 1995. "Measuring Business Cycles Approximate Band-Pass Filters for Economic Time Series," NBER Working Papers 5022, National Bureau of Economic Research, Inc.
  13. Mankiw, N. Gregory & Campbell, John, 1989. "International Evidence on the Persistence of Economic Fluctuations," Scholarly Articles 3224417, Harvard University Department of Economics.
  14. Zarnowitz, Victor, 1992. "Business Cycles," National Bureau of Economic Research Books, University of Chicago Press, number 9780226978901, January.
  15. Carpenter, Robert E & Levy, Daniel, 1998. "Seasonal Cycles, Business Cycles, and the Comovement of Inventory Investment and Output," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 30(3), pages 331-46, August.
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Cited by:
  1. Levy, Daniel & Dezhbakhsh, Hashem, 2003. "International evidence on output fluctuation and shock persistence," Journal of Monetary Economics, Elsevier, vol. 50(7), pages 1499-1530, October.
  2. Benk, Szilárd & Gillman, Max & Kejak, Michal, 2009. "US Volatility Cycles of Output and Inflation, 1919-2004: A Money and Banking Approach to a Puzzle," CEPR Discussion Papers 7150, C.E.P.R. Discussion Papers.
  3. 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.
  4. Carlos Medel, 2014. "The Typical Spectral Shape of An Economic Variable: A Visual Guide with 100 Examples," Working Papers Central Bank of Chile 719, Central Bank of Chile.
  5. Imbs, Jean & Mauro, Paolo, 2007. "Pooling Risk Among Countries," CEPR Discussion Papers 6461, C.E.P.R. Discussion Papers.
  6. Benk, Szilárd & Gillman, Max & Kejak, Michal, 2010. "A banking explanation of the US velocity of money: 1919-2004," Journal of Economic Dynamics and Control, Elsevier, vol. 34(4), pages 765-779, April.
  7. Leon, Costas & Eeckels, Bruno, 2009. "A Dynamic Correlation Approach of the Swiss Tourism Income," MPRA Paper 15215, University Library of Munich, Germany.
  8. David E. Giles & Chad N. Stroomer, 2004. "Identifying the Cycle of a Macroeconomic Time-Series Using Fuzzy Filtering," Econometrics Working Papers 0406, Department of Economics, University of Victoria.
  9. 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.

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