“Output Fluctuations in the G-7: An Unobserved Components Approach,”

Sinchan Mitra, Tara Sinclair

Research output: Contribution to journalArticlepeer-review

13 Citations (Scopus)

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.
Original languageEnglish
Pages (from-to)396-422
Number of pages27
JournalMacroeconomic Dynamics
Volume16
Issue number3
Early online date12 Dec 2011
DOIs
Publication statusPublished - Jun 2012

Keywords

  • Business cycle

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