Search

To link to full-text access for this article, visit this link: http://dx.doi.org/10.1016/j.jmacro.2007.08.011 Byline: Olivier Darne Keywords: GNP; Output persistence; Unit root test; Outliers Abstract: In this paper, we study the nature of the trend (deterministic or stochastic) for long spans of US GNP data (1869-1993). This distinction is important for macroeconomic theories, because the two models imply very different source of output fluctuations due to (transitory or permanent) shocks. We show, using an alternative method relative to the previous studies, that the period of turmoil experienced from 1929 to 1949 can be explained by several large shocks and some of them have a permanent effect due to the Great Depression and World War II. We also find evidence in favor of stochastic trend. These results show that the persistence in US output can be explained both by infrequent but significant economic and financial events (infrequent large shocks) and by period-by-period permanent innovations (frequent small shocks), such as productivity shocks resulting from technological changes, as the stochastic trend would imply. Author Affiliation: University of Paris X-Nanterre, EconomiX, 200 Avenue de la Republique, 92001 Nanterre cedex, France Article History: Received 5 March 2007; Accepted 21 August 2007

To link to full-text access for this article, visit this link: http://dx.doi.org/10.1016/j.jmacro.2007.08.012 Byline: Martin Uebele (a), Albrecht Ritschl (b) Keywords: Business cycle chronology; Imperial Germany; Spectral analysis; Efficient market hypothesis Abstract: Historical national account data are often plagued by quality problems, and rivaling series imply different business cycle chronologies. This problem is particularly grave for Germany before World War I [Burhop, C., Wolff, G.B., 2005. A compromise estimate of net national product and the business cycle in Germany 1851-1913. Journal of Economic History 65(3), 615-657]. We exploit the comovement between asset prices and various GNP estimates under the efficient market hypothesis to obtain an improved business cycle dating, and to decide between the various alternative national accounts series. We also examine the comovement between financial markets and various disaggregate indicators of real investment. Employing both time and frequency domain techniques, we find impressive comovement between the stock market, an estimate of the aggregate wage bill, and disaggregate evidence on real investment. Our findings confirm traditional business cycle chronologies for Germany and lead us to discard later, revisionist attempts to date the business cycle. Author Affiliation: (a) Department of Economics, University of MuEnster, Domplatz 20-22, 48143 MuEnster, Germany (b) Department of Economic History, London School of Economics, Houghton Street, London WC2 2AE, United Kingdom, and CEPR Article History: Received 13 March 2007; Accepted 17 August 2007

A marked deterioration of the macroeconomic performance and outlook... The macroeconomic performance of the Dutch economy has deteriorated markedly over the past few quarters. Real GDP growth, which had already [...]

Evaluation of sustainability of the Group of 7 countries' fiscal policies related to the situation of public debts and performance of Gross National Product is discussed. Additional information on the development of favorable economic conditions to support efficient fiscal policies in the Group of 7 countries is also included.

'Ill fares the land to hastening ills a prey, where wealth accumulates, and men decay.' Oliver Goldsmith (1728-1770), Deserted Village The concentration of wealth has received much less attention than [...]

Proxy data and income estimates are significant factors in measuring and predicting national income. The efficacy of proxy variables such as nonagricultural sectors, death rate and mailing rate were measured using data gathered from European countries. Findings revealed that these variables, although associated with GDP and economic growth, have varying effects on income. The proxy-data approach produces ambiguous results, which cannot ensure reliability as far as income estimation is concerned.

Procyclical utilization for both labor and capital as well as costs of rapidly increasing employment are introduced into a business cycle model. Results show that the generated business cycle is led by workweeks, effort, capital utilization and productivity. However, actual business cycles are observed to be different from the generated business cycles. This leads to the conclusion that the procyclicality of hours of work is more important than the procyclicality of productivity.

Bivariate and trivariate state space models are used to study the relationships of the real GNP with level of unemployment in the US, taking into account monetary shocks, as exemplified by the US money supply M1. Stochastic trends are extracted from the nonstationary data utilizing the model. The trivariate model does not reveal results complying with Okun's law.

The role of commodity prices in the determination of output, inflation and other macroeconomic processes is examined, assuming forward-looking expectations of commodity stockholders. The model is later extended by the assumption of imperfect substitution between financial assets and commodities. The results emphasize the neutrality of monetary contraction in the steady state, and that non-linearity causes the effect of interest rateson commodity prices to remain ambiguous.

Annual and monthly output and inflation data from 1973 to 1989 for countries in and out of the European Monetary System (EMS) are analyzed to evaluate the relative performance of the EMS exchange rate mechanism (ERM). The Barro-Gordonmodel is applied, extended by the signal extraction problem and Muthian expectations. A correlation between deflation and output is inferred, with residuals that indicate expectations brought about by a new regime. In general,the ERM benefitted the member countries by way of a stable monetary environment.

A Multicountry Characterization of the Nonstationarity of Aggregate Output WHETHER THE UNIVARIATE TIME SERIES REPRESENTATION of real GNP contains a unit root or a deterministic linear trend has been much […]

Economic Forecasts, Rationality, and the Processing of New Information over Time ECONOMIC EXPECTATIONS PLAY A CENTRAL ROLE in explaining the dynamics of any equilibrium market. Because of their importance, the […]