International Evidence on the Persistence of Economic Fluctuations

N. Gregory Mankiw and John Campbell

Scholarly Articles from Harvard University Department of Economics

Abstract: 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.

Date: 1989
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Published in Journal of Monetary Economics

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Related works:
Journal Article: International evidence on the persistence of economic fluctuations (1989)
Working Paper: International Evidence on the Persistence of Economic Fluctuations (1988)
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Persistent link: https://EconPapers.repec.org/RePEc:hrv:faseco:3224417

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