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The Beveridge–Nelson decomposition of mixed-frequency series

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  • Yasutomo Murasawa

    (Konan University)

Abstract

Gibbs sampling for Bayesian VAR with mixed-frequency series draws latent high-frequency series and model parameters sequentially. Applying the multivariate Beveridge–Nelson (B–N) decomposition in each Gibbs step, one can simulate the joint posterior distribution of the B–N permanent and transitory components in latent and observable high-frequency series. This paper applies the method to mixed-frequency series of macroeconomic variables including quarterly real GDP to estimate the monthly natural rates and gaps of output, inflation, interest, and unemployment jointly. The resulting monthly real GDP and GDP gap are complementary coincident indices, measuring classical and deviation cycles, respectively.

Suggested Citation

  • Yasutomo Murasawa, 2016. "The Beveridge–Nelson decomposition of mixed-frequency series," Empirical Economics, Springer, vol. 51(4), pages 1415-1441, December.
    • Handle: RePEc:spr:empeco:v:51:y:2016:i:4:d:10.1007_s00181-015-1061-5
    DOI: 10.1007/s00181-015-1061-5
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    More about this item

    Keywords

    Bayesian; Gap; Growth cycle; Monthly GDP; Natural rate; Trend–cycle decomposition;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
    • C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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