International Evidence on the Persistence of Economic Fluctuations / John Y. Campbell, N. Gregory Mankiw.

Format:

Book

Author/Creator:

Campbell, John Y.

Contributor:

National Bureau of Economic Research.

Mankiw, N. Gregory.

Series:

Working Paper Series (National Bureau of Economic Research) no. w2498.

NBER working paper series no. w2498

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 1988.

Summary:

This paper presents new evidence on the persistence of fluctuations in real GNP. Two measures of persistence are estimated non-parametrically 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(2) processes. For six out of seven countries, the results indicate that a 1 percent shock to output should change the long-run univariate forecast of output by well over I 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.

Notes:

Print version record

1988.