Empirical Analysis On U S Real Output
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Empirical Analysis On U S Real Output
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Author : Sui Luo
language : en
Publisher:
Release Date : 2013
Empirical Analysis On U S Real Output written by Sui Luo and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with Gross domestic product categories.
The relative importance of permanent (trend) versus cyclical shocks to GDP has been a central issue in macroeconomics since the work of Nelson and Plosser (1982). Morley et al. (2003) find large trend shocks. In contrast, Perron and Wada (2009) argue for a onetime change in the mean growth rate at 1973:1 to be the only trend shock to the post-war U.S. real output. Chapter 1 presents a joint work with Richard Startz. We re-estimate the Perron and Wada (2009) model conditional on a trend break having occurred at any one quarter. We then average the conditional estimates of the trend variance over the probability that the break occurred in a specified quarter. We do this both by an approximate Bayesian model average in which the conditional estimates are done by maximum likelihood and the date probabilities are found using the Schwarz (1978) approximation to the Bayesian marginal likelihood, and an exact Bayesian analysis which incorporates break date uncertainty into a trend-cycle decomposition of U.S. real GDP. The weight of the evidence supports the Perron and Wada (2009)'s finding of a fairly small trend variance, but the data does not provide very strong evidence against the alternative. As confirmed in Chapter 1, little evidence has been found for the stochastic trends when researchers allow for adequate number of structural breaks in the growth rates. Therefore deterministic (linear) trends with structural breaks are often proposed to describe the trend component for U.S. real output. In Chapter 2, we examine the effect of unknown structural breaks, including those in the mean growth rate and the covariance matrix, on the evidence of the stochastic trend for the U.S. postwar quarterly real GDP. We use Bayesian approach to compare the stochastic trend models with the deterministic (linear) trend models, allowing for up to four unknown structural breaks in the mean growth rate and/or up to one break in the shocks' covariance matrix. We find evidence for two structural breaks in mean: one around early 1970s, and the other after 2000. Data also identify early 1980s as the date for a volatility reduction. Conditional on the selected break dates, data favors the stochastic trend models over deterministic trend models. Exclusions of the stochastic trends and the effect of ongoing real shocks reported in the literature could be misleading if one ignores the structural breaks in the error variances and covariances. In Chapter 3, we present evidence for the changing correlation between U.S. trend and cycle GDP in the post-WWII period. Researchers usually assume constant trend-cycle correlation when using unobserved component models to decompose U.S. real output. We introduce the time varying correlation into a UC model with a random walk mean growth rate and stochastic volatilities. We find that the estimated correlation is negative but could be close to zero before 1980s. And it has become more negative since the 1980s till the end of the sample (2012:4). By allowing the correlation to change over time, we are able to reconcile some of the debating results from earlier work. Through counterfactural studies, we show that the change in correlation contributes equally with the reduction in the cycle volatility to the great moderation. As a by-product, we find evidence for a stochastic trend and ongoing permanent shocks. We also find some signs of the grow rate slowdown around 1970 and further reduction around 2005.
Government Purchases And Real Output
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Author : Teresa Garcia-Milà
language : en
Publisher:
Release Date : 1987
Government Purchases And Real Output written by Teresa Garcia-Milà and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1987 with Compras estatales categories.
Hong Kong Output Dynamics
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Author : Yin-Wong Cheung
language : en
Publisher:
Release Date : 2001
Hong Kong Output Dynamics written by Yin-Wong Cheung and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Banks and banking categories.
An Empirical Investigation Of The U S Gdp Growth
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Author : Ozge Kandemir Kocaaslan
language : en
Publisher:
Release Date : 2013
An Empirical Investigation Of The U S Gdp Growth written by Ozge Kandemir Kocaaslan and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
This thesis is composed of three separate yet related empirical studies. In Chapter 2, we empirically investigate the effects of inflation uncertainty on output growth for the U.S. economy using both monthly and quarterly data over 1960-2009. Employing a Markov regime switching approach, we show that inflation uncertainty obtained from a Markov regime switching GARCH model exerts a negative and regime dependent impact on growth. We show that the negative impact of inflation uncertainty on growth is almost 2 times higher during the low growth regime than that during the high growth regime. We verify the robustness of our findings using quarterly data. In Chapter 3, we empirically examine whether there are asymmetries in the real effects of monetary policy shocks across business cycle and whether financial depth plays an important role in dampening the effects of monetary policy shocks on output growth using quarterly U.S. data over the period 1981:QI--2009:QII. Applying an instrumental variables estimation in Markov regime switching methodology, we document that the impact of monetary policy changes on growth is stronger during recessions. We also find that financial development is very prominent in dampening the real effects of monetary policy shocks especially during the periods of recession. In Chapter 4, we empirically search for the causal link between energy consumption and economic growth employing a Markov switching Granger causality analysis. We carry out our investigation using quarterly U.S. real GDP and total energy consumption data over the period 1975:QI--2009:QIV. We find that there are changes in the causal relation between energy consumption and economic growth. Our results show that energy consumption has predictive content for real economic activity. The causality running from energy consumption to output growth seems to be strongly apparent only during the periods of recession and energy crisis. We also reveal that output growth has predictive power for energy consumption and this power evidently arises during the periods of expansion.
Studies In The Structure Of The American Economy
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Author : Harvard Economic Research Project
language : en
Publisher:
Release Date : 1976
Studies In The Structure Of The American Economy written by Harvard Economic Research Project and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1976 with Business & Economics categories.
1977 reprint of 1953 edition.
International Economic Transactions
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Author : Peter Hooper
language : en
Publisher: University of Chicago Press
Release Date : 2009-02-15
International Economic Transactions written by Peter Hooper and has been published by University of Chicago Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-02-15 with Business & Economics categories.
How the government arrives at its official economic statistics deeply influences the lives of every American. Social Security payments and even some wages are linked to import prices through official inflation rates; special measures of national product are necessary for valid comparisons of vital social indicators such as relative standards of living and relative poverty. Poor information can result in poor policies. And yet, federal statistics agencies have been crippled by serious budget cuts—and more cuts may lie ahead. Questioning the quality of current data and analytical procedures, this ambitious volume proposes innovative research designs and methods for data enhancement, and offers new data on trade prices and service transactions for future studies. Leading researchers address the measurement of international trade flows and prices, including the debate over measurement of computer prices and national productivity; compare international levels of manufacturing output; and assess the extent to which the United States has fallen into debt to the rest of the world.
The Elgar Companion To Public Economics
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Author : Attiat F. Ott
language : en
Publisher: Edward Elgar Publishing
Release Date : 2006-01-01
The Elgar Companion To Public Economics written by Attiat F. Ott and has been published by Edward Elgar Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-01-01 with Business & Economics categories.
Attiat Ott and Richard Cebula have recognised the need to present, in an accessible and straightforward way, the voluminous literature in the public economics arena. Advances in econometric techniques and the spillover of knowledge from other disciplines made it difficult, not only for students but also for lecturers, to accurately find the information they need. This major Companion addresses a wealth of topics common to the study of both public economics and public choice including questions such as: How does one structure the whole spectrum of public finance in a manageable framework? What is Wagner s Law really about and what does empirical testing tell us? How binding is the budget constraint? How encompassing is a dictator s interest? How do veto powers of the executive, institutional structures and regimes affect public sector outcomes? Do voters behave rationally? Do conflicts yield benefits? Is war cost effective and does secession offer a viable exit option? The contributions, both theoretical and empirical, shed light on some contentious issues in the public economics literature and provide readers with insight into issues that are at the forefront of discussions about the public economy. The empirical analysis utilizes recent econometric techniques to validate or refute empirical findings based on older vintage econometrics. The diversity of coverage ranges from traditional models of the public economy to the incorporation of defence spending as a significant and often neglected function of the public sector. The contributors include many pioneers and leading lights in the field. The Elgar Companion to Public Economics will be required reading for academics and scholars at many levels in the fields of public economics and public choice but mainly graduate and above. The Companion will also be of value to scholars in the wider social sciences in general and political science in particular.
The Structure Of American Economy 1919 1939
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Author : Wassily Leontief
language : en
Publisher:
Release Date : 1976
The Structure Of American Economy 1919 1939 written by Wassily Leontief and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1976 with Business & Economics categories.
1977 reprint of 1951 edition.
Empirical Analysis Of Entrepreneurship And Economic Growth
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Author : André van Stel
language : en
Publisher: Springer Science & Business Media
Release Date : 2006-06-15
Empirical Analysis Of Entrepreneurship And Economic Growth written by André van Stel and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-06-15 with Business & Economics categories.
The importance of entrepreneurship for achieving economic growth in contemporary economies is widely recognized, both by policy makers and economists. It is deeply embedded in the current European policy approach that the creativity and independence of entrepreneurs contribute to higher levels of economic activity. Indeed, according to the European Commission (2003, p. 9), "The challenge for the European Union is to identify the key factors for building a climate in which entrepreneurial initiative and business activities can thrive. Policy measures should seek to boost the Union's levels of entrepreneurship, adopting the most appropriate approach for producing more entrepreneurs and for getting more firms to grow. " Audretsch (2003, p. 5) states that "Entrepreneurship has become the engine of economic and social development throughout the world. " The relation between entrepreneurship and economic growth is embedded in several strands of the economic literature. A first strand of literature involves the general understanding of the role of entrepreneurship in the modern economy. Seminal contributions were made by Schumpeter (1934), Knight (1921) and Kirzner (1973). These economists stress different aspects of the role of the entrepreneur. While Schumpeter stresses the innovating aspect, Knight stresses the risk assuming aspect. Kirzner, finally, stresses the role of the entrepreneur in leading markets to equilibrium. Acs (1992) discusses the contribution of small firms in modern economies.
Empirical Identification Of The Vector Autoregression
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Author : Kevin D. Hoover
language : en
Publisher:
Release Date : 2009
Empirical Identification Of The Vector Autoregression written by Kevin D. Hoover and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.
The M2 monetary aggregate is monitored by the Federal Reserve, using a broad brush theoretical analysis and an informal empirical analysis. This paper illustrates empirical identification of an eleven-variable system, in which M2 and the factors that the Fed regards as causes and effects are captured in a vector autogregression. Taking account of cointegration, the methodology combines recent developments in graph-theoretical causal search algorithms with a general-to-specific search algorithm to identify a fully specified structural vector autoregression (SVAR). The SVAR is used to examine the causes and effects of M2 in a variety of ways. We conclude that, while the Fed has rightly identified a number of special factors that influence M2 and while M2 detectably affects other important variables, there is 1) little support for the core quantity-theoretic approach to M2 used by the Fed; and 2) M2 is a trivial linkage in the transmission mechanism from monetary policy to real output and inflation.