Persistence in Real GDP: Evidence from Europe and the US

Guglielmo Maria Caporale and Luis Alberiko Gil-Alana

No 11764, CESifo Working Paper Series from CESifo

Abstract: This note provides extensive evidence on the persistence properties of real GDP in 17 European countries and in the US over the period 1960-2023 using a fractional integration framework. The analysis suggests that in all cases shocks have permanent effects on the level of real GDP. This is consistent with the idea that it is the growth rate of output which is stationary and fluctuates around a long-run equilibrium level. Further, the degree of persistence varies across countries, with the US, Greece and Spain exhibiting the highest one and Sweden and Ireland the lowest. Policy makers should take such properties into account when formulating appropriate stabilisation policies.

Keywords: real GDP; time series; persistence; fractional integration. (search for similar items in EconPapers)
JEL-codes: C22 E23 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_11764

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