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Spontaneous Volatility of Output and Investment

  • Robert E. Hall

Spontaneous shifts in output originating within the business sector are an important factor in aggregate fluctuations. This paper develops a simple two-component decomposition of the movement of real GNP. One component is the path that GNP would have followed in order to deliver the volume of goods and services actually taken by consumers, government, and the rest of the world. The second component, noise, is the residual between actual GNP and the theoretical calculation. The two components are of roughly the same size, but noise has more of its power at higher frequencies.

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File URL: http://www.nber.org/papers/w3144.pdf
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Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 3144.

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Date of creation: Oct 1989
Date of revision:
Handle: RePEc:nbr:nberwo:3144
Note: EFG
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  1. Steven N. Durlauf & Robert E. Hall, 1989. "Bounds on the Variances of Specification Errors in Models with Expectations," NBER Working Papers 2936, National Bureau of Economic Research, Inc.
  2. N. Gregory Mankiw & David Romer & Matthew D. Shapiro, 1985. "An Unbiased Reexamination of Stock Market Volatility," Cowles Foundation Discussion Papers 758, Cowles Foundation for Research in Economics, Yale University.
  3. Robert J. Shiller, 1980. "Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?," NBER Working Papers 0456, National Bureau of Economic Research, Inc.
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