Output fluctuations in the G-7: An unobserved components approach

Mitra, Sinchan and Sinclair, Tara M. (2012) Output fluctuations in the G-7: An unobserved components approach. Macroeconomic Dynamics, 16 3: 396-422. doi:10.1017/S1365100510000647

Author Mitra, Sinchan
Sinclair, Tara M.
Title Output fluctuations in the G-7: An unobserved components approach
Language of Title eng
Journal name Macroeconomic Dynamics   Check publisher's open access policy
Language of Journal Name eng
ISSN 1365-1005
Publication date 2012-06
Year available 2011
Sub-type Article (original research)
DOI 10.1017/S1365100510000647
Volume 16
Issue 3
Start page 396
End page 422
Total pages 27
Place of publication Cambridge, United Kingdom
Publisher Cambridge University Press
Collection year 2012
Language eng
Abstract This paper proposes a multivariate unobserved-components model to simultaneously decompose the real GDP for each of the G-7 countries into its respective trend and cycle components. In contrast to previous literature, our model allows for explicit correlation between all the contemporaneous trend and cycle shocks. We find that all the G-7 countries have highly variable stochastic permanent components for output, even once we allow for structural breaks. We also find that common restrictions on the correlations between trend and cycle shocks are rejected by the data. In particular, we find that correlations across permanent and transitory shocks are important both within and across countries.
Keyword Trend-cycle decompositions
Business cycles
Real GDP
Q-Index Code C1
Q-Index Status Confirmed Code
Institutional Status UQ
Additional Notes Published online: 12 December 2011.

Document type: Journal Article
Sub-type: Article (original research)
Collections: Official 2012 Collection
School of Economics Publications
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Citation counts: TR Web of Science Citation Count  Cited 7 times in Thomson Reuters Web of Science Article | Citations
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Created: Mon, 05 Mar 2012, 17:27:45 EST by Alys Hohnen on behalf of School of Economics