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Large shocks in U.S. macroeconomic time series: 1860-1988

Olivier Darné and Amelie Charles

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Abstract: In this paper, we examine the large shocks due to major economic or financial events that affected U.S. macroeconomic time series on the period 1860-1988, using outlier methodology. We show that most of these shocks have a temporary effect, showing that the U.S. macroeconomic time series experienced only few large permanent shifts in the long term. Most of these large shocks can be explained by major recessions and World War II as well as by monetary policy for the interest rate data. We also find that some economic events seem to have the same effect (immediate, transitory or permanent) on a number of macroeconomic series. Finally, we show that most macroeconomic time series do not seem inconsistent with a stochastic trend once we adjusted the data for these shocks.

Date: 2011
Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00771828
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Published in Cliometrica, Springer Verlag, 2011, 5, pp.79-100. ⟨10.1007/s11698-010-0052-1⟩

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Journal Article: Large shocks in U.S. macroeconomic time series: 1860-1988 (2011) Downloads
Working Paper: Large shocks in U.S. macroeconomic time series: 1860–1988 (2009) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00771828

DOI: 10.1007/s11698-010-0052-1

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