Trend Cycle Decomposition Implications From An Exact Structural Identification
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Trend Cycle Decomposition Implications From An Exact Structural Identification
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Author : Mardi Dungey
language : en
Publisher:
Release Date : 2013
Trend Cycle Decomposition Implications From An Exact Structural Identification written by Mardi Dungey 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.
A well-documented property of the Beveridge-Nelson trend-cycle decomposition is the perfect negative correlation between trend and cycle innovations. We show how this may be consistent with a structural model where trend shocks enter the cycle, or cyclic shocks enter the trend and that identification restrictions are necessary to make this structural distinction. A reduced-form unrestricted version such as that of Morley, Nelson and Zivot (2003) is compatible with either option, but cannot distinguish which is relevant. We discuss economic interpretations and implications using US real GDP data.
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.
The Business Review
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Author :
language : en
Publisher:
Release Date : 2013
The Business Review written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with United States categories.
The Political Economy Of Structural Reforms In Europe
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Author : Nauro F. Campos
language : en
Publisher: Oxford University Press
Release Date : 2018-07-04
The Political Economy Of Structural Reforms In Europe written by Nauro F. Campos and has been published by Oxford University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-07-04 with Business & Economics categories.
Reforms in labour and product markets play a central role in government policies. The Political Economy of Structural Reforms in Europe takes stock of current frontier work. It brings together leading contributions from academia, the central banks in Europe, and the OECD to argue that structural reforms can make a fundamental contribution to improve economic performance across Europe. The Political Economy of Structural Reforms in Europe brings together theoretical and empirical studies that address the potential role of structural reforms in restoring macroeconomic stability, resuming economic growth, addressing income inequality, and grappling secular stagnation. It throws new light on the determinants and effects of structural reforms and on how these shape the European integration experience.
Forecasting Structural Time Series Models And The Kalman Filter
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Author : Andrew C. Harvey
language : en
Publisher: Cambridge University Press
Release Date : 1990
Forecasting Structural Time Series Models And The Kalman Filter written by Andrew C. Harvey and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990 with Business & Economics categories.
A synthesis of concepts and materials, that ordinarily appear separately in time series and econometrics literature, presents a comprehensive review of theoretical and applied concepts in modeling economic and social time series.
Seasonal Adjustment Methods And Real Time Trend Cycle Estimation
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Author : Estela Bee Dagum
language : en
Publisher: Springer
Release Date : 2016-06-20
Seasonal Adjustment Methods And Real Time Trend Cycle Estimation written by Estela Bee Dagum and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-06-20 with Business & Economics categories.
This book explores widely used seasonal adjustment methods and recent developments in real time trend-cycle estimation. It discusses in detail the properties and limitations of X12ARIMA, TRAMO-SEATS and STAMP - the main seasonal adjustment methods used by statistical agencies. Several real-world cases illustrate each method and real data examples can be followed throughout the text. The trend-cycle estimation is presented using nonparametric techniques based on moving averages, linear filters and reproducing kernel Hilbert spaces, taking recent advances into account. The book provides a systematical treatment of results that to date have been scattered throughout the literature. Seasonal adjustment and real time trend-cycle prediction play an essential part at all levels of activity in modern economies. They are used by governments to counteract cyclical recessions, by central banks to control inflation, by decision makers for better modeling and planning and by hospitals, manufacturers, builders, transportation, and consumers in general to decide on appropriate action. This book appeals to practitioners in government institutions, finance and business, macroeconomists, and other professionals who use economic data as well as academic researchers in time series analysis, seasonal adjustment methods, filtering and signal extraction. It is also useful for graduate and final-year undergraduate courses in econometrics and time series with a good understanding of linear regression and matrix algebra, as well as ARIMA modelling.
Hysteresis And Business Cycles
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Author : Ms.Valerie Cerra
language : en
Publisher: International Monetary Fund
Release Date : 2020-05-29
Hysteresis And Business Cycles written by Ms.Valerie Cerra and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-05-29 with Business & Economics categories.
Traditionally, economic growth and business cycles have been treated independently. However, the dependence of GDP levels on its history of shocks, what economists refer to as “hysteresis,” argues for unifying the analysis of growth and cycles. In this paper, we review the recent empirical and theoretical literature that motivate this paradigm shift. The renewed interest in hysteresis has been sparked by the persistence of the Global Financial Crisis and fears of a slow recovery from the Covid-19 crisis. The findings of the recent literature have far-reaching conceptual and policy implications. In recessions, monetary and fiscal policies need to be more active to avoid the permanent scars of a downturn. And in good times, running a high-pressure economy could have permanent positive effects.
When And How To Adjust Beyond The Business Cycle A Guide To Structural Fiscal Balances
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Author : Fabian Bornhorst
language : en
Publisher: International Monetary Fund
Release Date : 2011-04-11
When And How To Adjust Beyond The Business Cycle A Guide To Structural Fiscal Balances written by Fabian Bornhorst and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-04-11 with Business & Economics categories.
Technical Notes and Manuals are produced by IMF departments to expand the dissemination of their technical assistance advice. These papers present general advice and guidance, drawn in part from unpublished technical assistance reports, to a broader audience. This new series was launched in August 2009.
Short Term And Long Term Trends Seasonal Adjustment And The Business Cycle
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Author : Regina Kaiser
language : en
Publisher:
Release Date : 1999
Short Term And Long Term Trends Seasonal Adjustment And The Business Cycle written by Regina Kaiser and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with Business cycles categories.
Analyzes in detail some of the major limitations of the standard procedure to estimate business cycles with the Hodrick-Prescott (HP) filter.
The New Palgrave Dictionary Of Economics
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Author :
language : en
Publisher: Springer
Release Date : 2016-05-18
The New Palgrave Dictionary Of Economics written by and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-05-18 with Law categories.
The award-winning The New Palgrave Dictionary of Economics, 2nd edition is now available as a dynamic online resource. Consisting of over 1,900 articles written by leading figures in the field including Nobel prize winners, this is the definitive scholarly reference work for a new generation of economists. Regularly updated! This product is a subscription based product.