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Fractional Integration and Structural Breaks in U.S. Macro Dynamics

  • Luis A. Gil-Alana

    ()

    (Facultad de Ciencias Económicas y Empresariales, Universidad de Navarra)

  • Antonio Moreno

    ()

    (Facultad de Ciencias Económicas y Empresariales, Universidad de Navarra)

This paper identifies structural breaks in the post-World War II joint dynamics of U.S. inflation, unemployment and the short-term interest rate. We derive a structural break-date procedure which allows for long-memory behavior in all three series and perform the analysis for alternative data frequencies. Both long-memory and short-run coefficients are relevant for characterizing the changing patterns of U.S. macroeconomic dynamics. We provide an economic interpretation of those changes by examining the link between macroeconomic events and structural breaks.

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File URL: http://www.unav.es/facultad/econom/files/workingpapersmodule/@random497080f7805d2/1233309644_WP_UNAV_02_09.pdf
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Paper provided by School of Economics and Business Administration, University of Navarra in its series Faculty Working Papers with number 02/09.

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Length: 53 pages
Date of creation: 20 Jan 2009
Date of revision:
Publication status: Forthcoming on EMPIRICAL ECONOMICS
Handle: RePEc:una:unccee:wp0209
Contact details of provider: Web page: http://www.unav.es/facultad/econom

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