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On the Typical Spectral Shape of an Economic Variable

  • Daniel Levy

    ()

    (Department of Economics, Bar Ilan University)

  • Hashem Dezhbakhsh

    (Emory University)

In a classic article, Granger (1966) asserted that most economic time series measured in level have spectra that exhibit a smooth declining shape with considerable power at very low frequencies. There has been no systematic attempt to examine Granger,s assertion 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://www.biu.ac.il/soc/ec/wp/16-02/16-02.pdf
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Paper provided by Bar-Ilan University, Department of Economics in its series Working Papers with number 2002-16.

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Date of creation: Dec 2002
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Handle: RePEc:biu:wpaper:2002-16
Contact details of provider: Postal: Faculty of Social Sciences, Bar Ilan University 52900 Ramat-Gan
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Web page: http://www.biu.ac.il/soc/ec
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  1. Mankiw, N. Gregory & Campbell, John, 1989. "International Evidence on the Persistence of Economic Fluctuations," Scholarly Articles 3224417, Harvard University Department of Economics.
  2. 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.
  3. Marianne Baxter & Robert G. King, 1999. "Measuring Business Cycles: Approximate Band-Pass Filters For Economic Time Series," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 575-593, November.
  4. 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.
  5. 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.
  6. Daniel Levy, 2000. "Investment-Saving Comovement and Capital Mobility: Evidence from Century Long U.S. Time Series," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 3(1), pages 100-137, January.
  7. 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.
  8. 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.
  9. Olivier Jean Blanchard & Danny Quah, 1988. "The Dynamic Effects of Aggregate Demand and Supply Disturbance," Working papers 497, Massachusetts Institute of Technology (MIT), Department of Economics.
  10. Zarnowitz, Victor, 1992. "Business Cycles," National Bureau of Economic Research Books, University of Chicago Press, number 9780226978901.
  11. 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.
  12. 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.
  13. Daniel Levy & Haiwei Chen, 2005. "Estimates of the Aggregate Quarterly Capital Stock for the Post- War U.S. Economy," Others 0505008, EconWPA, revised 16 May 2005.
  14. 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.
  15. Daniel Levy, 2005. "Output, Capital, and Labor in the Short, and Long-Run," Development and Comp Systems 0505012, EconWPA.
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