NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

International Evidence on the Persistence of Economic Fluctuations

John Y. Campbell, N. Gregory Mankiw

NBER Working Paper No. 2498 (Also Reprint No. r1290)
Issued in 1988
NBER Program(s):   EFG

This paper presents new evidence on the persistence of fluctuations in real GNP. Two measures of persistence are estimated non-parametrically using post-war quarterly data from Canada, France, Germany, Italy, Japan, the United Kingdom. and the United States. These estimates are compared with Monte Carlo results from various AR(2) processes. For six out of seven countries, the results indicate that a 1 percent shock to output should change the long-run univariate forecast of output by well over I percent. Low-order ARM models for output growth are also estimated, and yield similar conclusions. Finally, the persistence in relative outputs of different countries is examined.

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Document Object Identifier (DOI): 10.3386/w2498

Published: Journal of Monetary Economics, Vol. 23, no.2, pp. 319-333, (March 1989). citation courtesy of

 
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