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International Evidence on Output Fluctuation and Shock Persistence

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  • Daniel Levy

    (Bar-Ilan & Emory)

  • Hashem Dezhbakhsh

    (Emory)

Abstract

We estimate output growth rate spectra for 58 countries. The spectra exhibit diverse shapes. To study the sources of this diversity, we estimate the short-run, business cycle, and long-run frequency components of the sampled series. For most OECD countries the bulk of the spectral mass is in the business cycle frequency band, and the magnitude of this cyclical component increases with income. For the developing countries, however, the spectral mass is not concentrated in the business cycle frequency band, and the income-cycle relationship is not as strong. We also estimate two frequency domain measures of shock persistence and find both measures to vary considerably across countries, with the U.S. having the lowest estimates. For the OECD countries most of the variation in the variance ratio statistic appears to be explained by the variation in the long-term growth component.

Suggested Citation

  • Daniel Levy & Hashem Dezhbakhsh, 2004. "International Evidence on Output Fluctuation and Shock Persistence," Macroeconomics 0402016, EconWPA.
  • Handle: RePEc:wpa:wuwpma:0402016
    Note: Type of Document - pdf; prepared on Win 98; to print on Any printer; pages: 49 ; figures: Figures are included
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    References listed on IDEAS

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    Cited by:

    1. Parhi, Mamata & Mishra, Tapas, 2009. "Spatial growth volatility and age-structured human capital dynamics in Europe," Economics Letters, Elsevier, vol. 102(3), pages 181-184, March.
    2. Britta Gehrke & Fang Yao, 2016. "Persistence and volatility of real exchange rates: the role of supply shocks revisited," Reserve Bank of New Zealand Discussion Paper Series DP2016/02, Reserve Bank of New Zealand.
    3. Robert S. Chirinko & Debdulal Mallick, 2014. "The Substitution Elasticity, Factor Shares, Long-Run Growth, and the Low-Frequency Panel Model," CESifo Working Paper Series 4895, CESifo Group Munich.
    4. Crowley, Patrick M. & 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.
    5. Young, Andrew T. & Higgins, Matthew J. & Levy, Daniel, 2013. "Heterogeneous convergence," Economics Letters, Elsevier, vol. 120(2), pages 238-241.
    6. Crowley, Patrick M., 2010. "Long cycles in growth : explorations using new frequency domain techniques with US data," Research Discussion Papers 6/2010, Bank of Finland.
    7. Mallick, Debdulal, 2015. "Elusive Relationship between Business-cycle Volatility and Long-run Growth," MPRA Paper 64502, University Library of Munich, Germany.
    8. Daniel Levy & Hashem Dezhbakhsh, 2003. "On the typical spectral shape of an economic variable," Applied Economics Letters, Taylor & Francis Journals, vol. 10(7), pages 417-423.
    9. Vrowley, Patrick M. & Maraun, Douglas & Mayes, David, 2006. "How hard is the euro area core? : an evaluation of growth cycles using wavelet analysis," Research Discussion Papers 18/2006, Bank of Finland.
    10. Crowley, Patrick M., 2009. "How do you make a time series sing like a choir? : Using the Hilbert-Huang transform to extract embedded frequencies from economic or financial time series," Research Discussion Papers 32/2009, Bank of Finland.
    11. Yang, Zan & Wang, Songtao & Campbell, Robert, 2010. "Monetary policy and regional price boom in Sweden," Journal of Policy Modeling, Elsevier, vol. 32(6), pages 865-879, November.
    12. Christian Richter & Andrew Hughes Hallett, 2005. "A Time-Frequency Analysis of the Coherences of the US Business," Computing in Economics and Finance 2005 45, Society for Computational Economics.
    13. José Luis Arrufat & Alberto Martín Díaz Cafferata & José Antonio Viceconte, 2011. "Terms of trade cycles in extreme land abundant countries, 1870-2009. Spectral analysis," Working Papers 05/11, Instituto Universitario de Análisis Económico y Social.
    14. Cecilia Bermúdez & Carlos D. Dabús & Germán H. González, 2015. "Reexamining the link between instability and growth in Latin America: A dynamic panel data estimation using k-median clusters," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 52(1), pages 1-23, May.
    15. Mishra, Tapas & Jumah, Adusei & Parhi, Mamata, 2008. "Age-structured Human Capital and Spatial Total Factor Productivity Dynamics," Economics Series 226, Institute for Advanced Studies.
    16. repec:aea:aejmac:v:9:y:2017:i:4:p:225-53 is not listed on IDEAS
    17. repec:eee:jimfin:v:79:y:2017:i:c:p:99-114 is not listed on IDEAS
    18. Andrew Hallett & Christian Richter, 2006. "Measuring the Degree of Convergence among European Business Cycles," Computational Economics, Springer;Society for Computational Economics, vol. 27(2), pages 229-259, May.
    19. Tom Holden, 2012. "Medium-frequency cycles and the remarkable near trend-stationarity of output," School of Economics Discussion Papers 1412, School of Economics, University of Surrey.
    20. Mallick, Debdulal, 2014. "Financial Development, Shocks, And Growth Volatility," Macroeconomic Dynamics, Cambridge University Press, vol. 18(03), pages 651-688, April.
    21. James Laurenceson, 2011. "The Persistence Characteristics of Output Growth in China: How Important is the Business Cycle?," Discussion Papers Series 430, School of Economics, University of Queensland, Australia.
    22. Laurenceson, James & Rodgers, Danielle, 2010. "China's macroeconomic volatility -- How important is the business cycle?," China Economic Review, Elsevier, vol. 21(2), pages 324-333, June.
    23. Andrew Hughes Hallett & Christian Richter, 2006. "Is the convergence of business cycles a global or regional issue? The UK, US and Euroland," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(3), pages 177-194.
    24. Frey, Rainer, 2009. "The design of an asymmetric currency union with shock persistence and spillovers: Short-term versus medium-term," European Journal of Political Economy, Elsevier, vol. 25(1), pages 85-97, March.
    25. Mallick, Debdulal, 2017. "The Growth-Volatility Relationship: What Does Volatility Decomposition Tell?," MPRA Paper 79397, University Library of Munich, Germany.

    More about this item

    Keywords

    Business Cycles; Developing Countries; OECD Countries; Output Fluctuation; Output Growth; Shock Persistence; Spectral Analysis; Frequency Domain; Short Run; Long Run; Frequency Component; Income-Cycle Relationship; Variance Ratio Statistic;

    JEL classification:

    • 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
    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • O40 - Economic Development, Innovation, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - General
    • O57 - Economic Development, Innovation, Technological Change, and Growth - - Economywide Country Studies - - - Comparative Studies of Countries

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