International evidence on output fluctuation and shock persistence

Daniel Levy, Hashem Dezhbakhsh

Research output: Contribution to journalArticlepeer-review

29 Scopus citations

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.

Original languageEnglish
Pages (from-to)1499-1530
Number of pages32
JournalJournal of Monetary Economics
Volume50
Issue number7
DOIs
StatePublished - Oct 2003

Keywords

  • Business cycles
  • Developing countries
  • OECD countries
  • Output growth
  • Shock persistence
  • Spectral analysis

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