International evidence on output fluctuation and shock persistence

Daniel Levy () and Hashem Dezhbakhsh

Post-Print from HAL

Abstract: We estimate output growth rate spectra for 58 countries. The spectra exhibit diverse shapes. To study the sources of this diversity, we estimate the short-run, business cycle, and long-run frequency components of the sampled series. For most OECD countries the bulk of the spectral mass is in the business cycle frequency band, and the magnitude of this cyclical component increases with income. For the developing countries, however, the spectral mass is not concentrated in the business cycle frequency band, and the income-cycle relationship is not as strong. We also estimate two frequency domain measures of shock persistence and find both measures to vary considerably across countries, with the U.S. having the lowest estimates. For the OECD countries most of the variation in the variance ratio statistic appears to be explained by the variation in the long-term growth component.

Keywords: Business Cycles; Developing Countries; OECD Countries; Output Growth; Shock Persistence; Spectral Analysis; Frequency Domain (search for similar items in EconPapers)
Date: 2003-10
Note: View the original document on HAL open archive server: https://hal.science/hal-02386526
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (40)

Published in Journal of Monetary Economics, 2003, 50 (7), pp.1499-1530. ⟨10.1016/j.jmoneco.2003.08.005⟩

Downloads: (external link)
https://hal.science/hal-02386526/document (application/pdf)

Related works:
Working Paper: International Evidence on Output Fluctuation and Shock Persistence (2004)
Journal Article: International evidence on output fluctuation and shock persistence (2003)
Journal Article: International Evidence on Output Fluctuation and Shock Persistence (2003)
Working Paper: International Evidence on Output Fluctuation and Shock Persistence (2002)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02386526

DOI: 10.1016/j.jmoneco.2003.08.005

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().