Download or read book Permanent and Transitory Components of Business Cycles written by Chang-Jin Kim and published by . This book was released on 2001 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the relationship between permanent and transitory components of U.S. recessions in an empirical model allowing for business cycle asymmetry. Using a common stochastic trend representation for real GNP and consumption, we divide real GNP into permanent and transitory components, the dynamics of which are different in booms vs. recessions. We find evidence of substantial asymmetries in postwar recessions, and that both the permanent and transitory component have contributed to these recessions. We also allow for the timing of switches from boom to recession for the permanent component to be correlated with switches from boom to recession in the transitory component. The parameter estimates suggest a specific pattern of recessions: switches in the permanent component lead switches in the transitory component both when entering and leaving recessions.
Download or read book The Dynamics of the Permanent and Transitory Components in International Business Cycles written by Shushanik Papanyan and published by . This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper proposes a generalized multivariate framework to measure the significance of common permanent and transitory components in international business cycle fluctuations. I employ a multivariate unobserved components model with Markov regime switching to investigate the nonlinear dynamics of permanent and transitory components that are common across G7 real GDP series. The common components are modeled to exhibit different behavior in the expansion and recession phases of international business cycles. I find that, in contrast to the individual country's business cycles, the international business cycle does not exhibit classical recession and expansion phases. The international permanent component has two phases: a high-growth phase and a low-growth phase, and there is no evidence of a Friedman's pluck type recessionary period in the international transitory component. The switch from a high-growth regime to a low-growth regime occurs in the second quarter of 1973. There are no further switches that occur from one regime to the other. Among the seven developed nations examined, Japan is the most sensitive and Germany is the least sensitive to international permanent shocks.
Download or read book The Role of Permanent and Transitory Components in Business Cycle Volatility Moderation written by and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Hysteresis and Business Cycles written by Ms.Valerie Cerra and published by International Monetary Fund. This book was released on 2020-05-29 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Advances in Markov Switching Models written by James D. Hamilton and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 267 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a collection of state-of-the-art papers on the properties of business cycles and financial analysis. The individual contributions cover new advances in Markov-switching models with applications to business cycle research and finance. The introduction surveys the existing methods and new results of the last decade. Individual chapters study features of the U. S. and European business cycles with particular focus on the role of monetary policy, oil shocks and co movements among key variables. The short-run versus long-run consequences of an economic recession are also discussed. Another area that is featured is an extensive analysis of currency crises and the possibility of bubbles or fads in stock prices. A concluding chapter offers useful new results on testing for this kind of regime-switching behaviour. Overall, the book provides a state-of-the-art over view of new directions in methods and results for estimation and inference based on the use of Markov-switching time-series analysis. A special feature of the book is that it includes an illustration of a wide range of applications based on a common methodology. It is expected that the theme of the book will be of particular interest to the macroeconomics readers as well as econometrics professionals, scholars and graduate students. We wish to express our gratitude to the authors for their strong contributions and the reviewers for their assistance and careful attention to detail in their reports.
Download or read book Permanent and Transitory Components in Macroeconomic Fluctuation written by and published by . This book was released on 1987 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Macroeconometrics and Time Series Analysis written by Steven Durlauf and published by Springer. This book was released on 2016-04-30 with total page 417 pages. Available in PDF, EPUB and Kindle. Book excerpt: Specially selected from The New Palgrave Dictionary of Economics 2nd edition, each article within this compendium covers the fundamental themes within the discipline and is written by a leading practitioner in the field. A handy reference tool.
Download or read book Hong Kong s Growth Synchronization with China and the U S written by Mr.Dong He and published by International Monetary Fund. This book was released on 2017-07-08 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the synchronization of Hong Kong SAR’s economic growth with mainland China and the United States. This paper identifies trends of economic growth based on the permanent income hypothesis. Specifically, the paper confirms whether real consumption in Hong Kong SAR and mainland China satisfy the permanent income hypothesis, at least in a weak form. It then identifies the permanent and transitory components of income of each economy using a simple state-space model. It uses structural vector autoregression models to analyze how permanent and transitory shocks originating from mainland China and the United States affect the Hong Kong economy, and how such influences evolve over time. The paper’s main findings suggest that transitory shocks from the United States remain a major driving force behind Hong Kong SAR’s business cycle fluctuations. On the other hand, permanent shocks from mainland China have a larger impact on Hong Kong SAR’s trend growth.
Download or read book Do Mechanical Filters Provide a Good Approximation of Business Cycles written by Alain Guay and published by . This book was released on 1996 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, the authors examine how well the Hodrick-Prescott filter (HP) and the band-pass filter recently proposed by Baxter and King, 1995 (BK) extract the business-cycle component of macroeconomic time series. The authors assess these filters using two different definitions of the business-cycle component. First, they define that component to be fluctuations lasting no fewer than six and no more than 32 quarters; this is the BK definition of business-cycle frequencies. Second, they define the business-cycle component on the basis of a decomposition of the series into permanent and transitory components. A simulation study assesses how well these filters retrieve the cyclical component of a time series composed of a random walk and a transitory component. The authors also compare the cyclical component resulting from the application of the HP and BK filters with those obtained with the detrending methods proposed by Watson (1986) and Cochrane (1994) for United States output. Alternative methods are proposed to identify the business-cycle component.
Download or read book Business Cycles written by Victor Zarnowitz and published by University of Chicago Press. This book was released on 2007-11-01 with total page 613 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume presents the most complete collection available of the work of Victor Zarnowitz, a leader in the study of business cycles, growth, inflation, and forecasting.. With characteristic insight, Zarnowitz examines theories of the business cycle, including Keynesian and monetary theories and more recent rational expectation and real business cycle theories. He also measures trends and cycles in economic activity; evaluates the performance of leading indicators and their composite measures; surveys forecasting tools and performance of business and academic economists; discusses historical changes in the nature and sources of business cycles; and analyzes how successfully forecasting firms and economists predict such key economic variables as interest rates and inflation.
Download or read book Weekly Weather and Crop Bulletin written by and published by . This book was released on 1994 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Relative Importance of Permanent and Transitory Components written by Danny Quah and published by . This book was released on 1988 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Do the Hodrick Prescott and Baxter King Filters Provide a Good Approximation of Business Cycles computer File written by Guay, Alain and published by [Montréal] : Centre de recherche sur l'emploi et les fluctuations économiques, Université du Québec à Montréal (CREFÉ) = Center for Research on Economic Fluctuations and Employment (CREFE). This book was released on 1997 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Technology Shocks and Aggregate Fluctuations written by Mr.Pau Rabanal and published by International Monetary Fund. This book was released on 2004-12-01 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt: Our answer: Not so well. We reached that conclusion after reviewing recent research on the role of technology as a source of economic fluctuations. The bulk of the evidence suggests a limited role for aggregate technology shocks, pointing instead to demand factors as the main force behind the strong positive comovement between output and labor input measures.
Download or read book Business Cycle Asymmetry written by Geoffrey Bryan Coke and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis extends Kim and Nelson's (1999) plucking model for real GDP to include correlated innovations. The resulting correlated innovations unobserved components (UC) model allows for both asymmetric transitory movements and correlation between the permanent and transitory innovations. Applying the extended model to U.S., Canadian and Australian GDP, I show that the GDP series can be usefully decomposed into a permanent component, a symmetric transitory component, and an additional occasional asymmetric transitory shock. Incorporating correlated innovations in the model changes the allocation of volatility between the permanent and transitory components. For the U.S., correlated innovations were found to be significant and the permanent component accounted for a larger share of the volatility in GDP. For Canada and Australia, correlated innovations were not significant and the fitted model produced smooth permanent component and volatile transitory component estimates.
Download or read book An Unobserved Components Model That Yields Business and Medium Run Cycles written by Jun Ma and published by . This book was released on 2014 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We generalize the Unobserved Components (UC) model to allow the permanent component to have different dynamics than the transitory components when decomposing US economic activity using a multivariate UC model of (log) output, consumption and investment. We find that these proposed dynamics in the permanent component are statistically significant and distinct from those of the transitory components. Our approach provides an alternative explanation for the growth cycles identified by Comin and Gertler (2006) that is related to the cyclical movements in technology, in a framework consistent with the Beveridge-Nelson (1981) decomposition.
Download or read book Emerging Market Business Cycles Revisited written by Emine Boz and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: "The data reveal that emerging markets do not differ from developed countries with regards to the variance of permanent TFP shocks relative to transitory. They do differ, however, in the degree of uncertainty agents face when formulating expectations. Based on these observations, we build an equilibrium business cycle model in which the agents cannot perfectly distinguish between the permanent and transitory components of TFP shocks. When formulating expectations, they assign some probability to TFP shocks being permanent even when they are purely transitory. This is sufficient for the model to produce "permanent-like" effects in response to transitory shocks. The imperfect information model calibrated to Mexico predicts a higher variability of consumption relative to output and a strongly negative correlation between the trade balance and output, without the predominance of trend shocks. The same model assuming perfect information and calibrated to Canada accounts for developed country business cycle regularities. The estimated relative variance of trend shocks in these two models is similar"--Federal Reserve Board web site.
