International Evidence on the Persistence of Economic Fluctuations

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International Evidence on the Persistence of Economic Fluctuations

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Title: International Evidence on the Persistence of Economic Fluctuations
Author: Mankiw, N. Gregory; Campbell, John

Note: Order does not necessarily reflect citation order of authors.

Citation: Campbell, John Y., and N. Gregory Mankiw. 1989. International evidence on the persistence of economic fluctuations. Journal of Monetary Economics 23(2): 319-333.
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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.
Published Version: http://dx.doi.org/10.1016/0304-3932(89)90054-8
Other Sources: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=978420
Terms of Use: This article is made available under the terms and conditions applicable to Other Posted Material, as set forth at http://nrs.harvard.edu/urn-3:HUL.InstRepos:dash.current.terms-of-use#LAA
Citable link to this page: http://nrs.harvard.edu/urn-3:HUL.InstRepos:3224417
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