TY - JOUR
T1 - International evidence on output fluctuation and shock persistence
AU - Levy, Daniel
AU - Dezhbakhsh, Hashem
PY - 2003/10
Y1 - 2003/10
N2 - 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.
AB - 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.
KW - Business cycles
KW - Developing countries
KW - OECD countries
KW - Output growth
KW - Shock persistence
KW - Spectral analysis
UR - http://www.scopus.com/inward/record.url?scp=0038094737&partnerID=8YFLogxK
U2 - 10.1016/j.jmoneco.2003.08.005
DO - 10.1016/j.jmoneco.2003.08.005
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AN - SCOPUS:0038094737
SN - 0304-3932
VL - 50
SP - 1499
EP - 1530
JO - Journal of Monetary Economics
JF - Journal of Monetary Economics
IS - 7
ER -