Persistence in Real GDP Growth Rates: Univariate and Multivariate Evidence for the US, UK and Japan

Guglielmo Maria Caporale, Luis Gil-Alana and Guillermo Perez Tellechea

No 12781, CESifo Working Paper Series from CESifo

Abstract: This paper examines persistence in the real GDP growth rates of the US, UK and Japan. For this purpose, both univariate and multivariate parametric and semiparametric fractional integration methods are used. The results indicate cross-country heterogeneity. Specifically, in the case of the US and the UK the order of integration is close to 0, and the null hypothesis of short memory cannot be rejected for either country. By contrast, the order of integration is significantly positive in the case of Japan, the corresponding series exhibiting long memory with the effects of shocks being long-lived. A plausible explanation for the higher degree of persistence in the case of Japan is its demographic decline, rigid labour markets and entrenched corporate savings behaviour. These findings are robust to using different estimation methods. Impulse response analysis is also carried out to compare VAR and VARFI specifications. The results show that conventional VAR models may underestimate both the duration of domestic shocks and the persistence of cross-country transmission mechanisms.

Keywords: real GDP; growth rates; long memory; fractional integration; multivariate models; persistence (search for similar items in EconPapers)
JEL-codes: C22 C32 O40 (search for similar items in EconPapers)
Date: 2026
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