International Evidence on Output Fluctuation and Shock Persistence

Arbeitspapier

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.-

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Working Paper ; No. 2002-17

Classification and Topics

• Classification: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data) ; Business Fluctuations; Cycles ; Economic Growth and Aggregate Productivity: General ; Comparative Studies of Countries
• Subject: Business Cycles ; Developing Countries ; OECD Countries ; Output Growth ; Shock Persistence ; and Spectral Analysis

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Levy, Daniel ; Dezhbakhsh, Hashem
• Event: Veröffentlichung
• (who): Bar-Ilan University, Department of Economics
• (where): Ramat-Gan
• (when): 2002

Further information

• Handle: http://hdl.handle.net/10419/259332
• Last update: 10.03.20252025, 12:25 AM CET