Dynamics of real per capita GDP

Daniel Neuhoff

No 2015-039, SFB 649 Discussion Papers from Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

Abstract: This study investigates the dynamics of quarterly real GDP per capita growth rates across four countries, the US, UK, Canada and France. I obtain estimates for ARIMA(p,q) processes for first differences of log quarterly real GDP per capita using Reversible Jump Markov Chain Monte Carlo, allowing me to account for model uncertainty when comparing the implied impulse responses across countries. The results are checked for robustness with respect to the detrending device. The estimated impulse response functions are different in shape. The persistence estimates for the US, France, Canada and Italy are clustered together, while the UK and Japan are clear outliers. Significant posterior uncertainty remains regarding the persistence estimates and the appropriate ARMA models. The results for the UK is sensitive to the time period. An analysis of the components of GDP for the US suggests that the dynamics are mainly driven by consumption.

Keywords: ARMA; Real GDP per capita; Growth Rates; Persistence; Reversible Jump Markov Chain Monte Carlo (search for similar items in EconPapers)
JEL-codes: C51 C52 E32 (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:sfb649:sfb649dp2015-039

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