International Evidence on the Persistence of Economic Fluctuations
N. Gregory Mankiw () and
John Campbell ()
Scholarly Articles from Harvard University Department of Economics
This paper presents new evidence on the persistence of fluctuations in real GNP. We estimate two measures of persistence nonparametrically using post-war quarterly data from Canada, France, Germany, Italy, Japan, the United Kingdom, and the United States. We compare these estimates with Monte Carlo results from various AR(2) processes. For six out of seven countries, the point estimates indicate that a 1% shock to output should change the long-run unvariate forecast of output by well over 1%. Low-order ARMA models yield similar conclusions. Finally, we examine the persistence in relative outputs of different countries.
References: Add references at CitEc
Citations: View citations in EconPapers (87) Track citations by RSS feed
Published in Journal of Monetary Economics
Downloads: (external link)
http://dash.harvard.edu/bitstream/handle/1/3224417 ... nationalevidence.pdf (application/pdf)
Journal Article: International evidence on the persistence of economic fluctuations (1989)
Working Paper: International Evidence on the Persistence of Economic Fluctuations (1988)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:hrv:faseco:3224417
Access Statistics for this paper
More papers in Scholarly Articles from Harvard University Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Office for Scholarly Communication ().