International Evidence on the Persistence of Economic Fluctuations

John Campbell · N. Gregory Mankiw

15 citations0/0 files storedNational Bureau of Economic Research

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Abstract

This paper presents new evidence on the persistence of fluctuations in real GNP.Two measures of persistence are estimated non-parametricaFly using post-war quarterly data from Canada, France, Germany, Italy, Japan, the United Kingdom, and the United States.These estimates are compared with Monte Carlo results from various AR(2J processes.For six Out of seven countries, the results indicate that a 1 percent shock to output should change the on9-run univariate forecast of output by well over 1 percent.Low-order ARM models for output growth are also estimated, and yield similar conclusions.Finally, the persistence in relative outputs of different countries is examined.

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root 1988Trends and random walks in macroeconomic time series 1977Understanding business cycles 1988How Big Is the Random Walk in GNP?1988Tests For Unit Roots: A Monte Carlo Investigation 1987Are Output Fluctuations Transitory?1987The Cyclical Component of U. S. Economic Activity

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