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International Evidence on Output Fluctuation and Shock Persistence

  • Daniel Levy

    (Bar-Ilan & Emory)

  • Hashem Dezhbakhsh


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.

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Paper provided by EconWPA in its series Macroeconomics with number 0402016.

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Length: 49 pages
Date of creation: 07 Feb 2004
Date of revision:
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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  1. Edward C. Prescott, 1986. "Theory ahead of business cycle measurement," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Fall, pages 9-22.
  2. Mankiw, N. Gregory & Campbell, John, 1989. "International Evidence on the Persistence of Economic Fluctuations," Scholarly Articles 3224417, Harvard University Department of Economics.
  3. Daniel Levy & Hashem Dezhbakhsh, 2002. "On the Typical Spectral Shape of an Economic Variable," Emory Economics 0203, Department of Economics, Emory University (Atlanta).
  4. Levy, Daniel & Chen, Haiwei, 1994. "Estimates of the Aggregate Quarterly Capital Stock for the Post-war U.S. Economy," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 40(3), pages 317-49, September.
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  16. Meltzer, Allan H., 1990. "Unit roots, investment measures and other essays," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 32(1), pages 1-6, January.
  17. Watson, Mark W., 1986. "Univariate detrending methods with stochastic trends," Journal of Monetary Economics, Elsevier, vol. 18(1), pages 49-75, July.
  18. Christina D. Romer, 1992. "Remeasuring Business Cycles," NBER Working Papers 4150, National Bureau of Economic Research, Inc.
  19. 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.
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