Common cycles in macroeconomic aggregates (revised version)
Autor(a) principal: | |
---|---|
Data de Publicação: | 1995 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | http://hdl.handle.net/10438/627 |
Resumo: | Although there has been substantial research on long-run co-movement (common trends) in the empirical macroeconomics literature. little or no work has been done on short run co-movement (common cycles). Investigating common cycles is important on two grounds: first. their existence is an implication of most dynamic macroeconomic models. Second. they impose important restrictions on dynamic systems. Which can be used for efficient estimation and forecasting. In this paper. using a methodology that takes into account short- and long-run co-movement restrictions. we investigate their existence in a multivariate data set containing U.S. per-capita output. consumption. and investment. As predicted by theory. the data have common trends and common cycles. Based on the results of a post-sample forecasting comparison between restricted and unrestricted systems. we show that a non-trivial loss of efficiency results when common cycles are ignored. If permanent shocks are associated with changes in productivity. the latter fails to be an important source of variation for output and investment contradicting simple aggregate dynamic models. Nevertheless. these shocks play a very important role in explaining the variation of consumption. Showing evidence of smoothing. Furthermore. it seems that permanent shocks to output play a much more important role in explaining unemployment fluctuations than previously thought. |
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Issler, João VictorVahid, FarshidEscolas::EPGEFGV2008-05-13T15:28:30Z2008-05-13T15:28:30Z1995-020104-8910http://hdl.handle.net/10438/627Although there has been substantial research on long-run co-movement (common trends) in the empirical macroeconomics literature. little or no work has been done on short run co-movement (common cycles). Investigating common cycles is important on two grounds: first. their existence is an implication of most dynamic macroeconomic models. Second. they impose important restrictions on dynamic systems. Which can be used for efficient estimation and forecasting. In this paper. using a methodology that takes into account short- and long-run co-movement restrictions. we investigate their existence in a multivariate data set containing U.S. per-capita output. consumption. and investment. As predicted by theory. the data have common trends and common cycles. Based on the results of a post-sample forecasting comparison between restricted and unrestricted systems. we show that a non-trivial loss of efficiency results when common cycles are ignored. If permanent shocks are associated with changes in productivity. the latter fails to be an important source of variation for output and investment contradicting simple aggregate dynamic models. Nevertheless. these shocks play a very important role in explaining the variation of consumption. Showing evidence of smoothing. Furthermore. it seems that permanent shocks to output play a much more important role in explaining unemployment fluctuations than previously thought.engEscola de Pós-Graduação em Economia da FGVEnsaios Econômicos;257Todo cuidado foi dispensado para respeitar os direitos autorais deste trabalho. Entretanto, caso esta obra aqui depositada seja protegida por direitos autorais externos a esta instituição, contamos com a compreensão do autor e solicitamos que o mesmo faça contato através do Fale Conosco para que possamos tomar as providências cabíveisinfo:eu-repo/semantics/openAccessCommon cycles in macroeconomic aggregates (revised version)info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleEconomiaCiclos econômicosMacroeconomiaEconomiareponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVORIGINAL000063217.pdf000063217.pdfapplication/pdf1517889https://repositorio.fgv.br/bitstreams/05cdb243-8391-4e7e-9609-00d269e98a38/download9377b7df40465d20ff056982114038ecMD51TEXT000063217.pdf.txt000063217.pdf.txtExtracted texttext/plain76241https://repositorio.fgv.br/bitstreams/9e021d29-34f1-4813-8026-763f041e3d3a/download54e5445c531d337026715fc9a8facb27MD56THUMBNAIL000063217.pdf.jpg000063217.pdf.jpgGenerated Thumbnailimage/jpeg2155https://repositorio.fgv.br/bitstreams/21734e92-c8f1-4c32-b32c-9f18726abd14/download23970901ca60bb66e14bb609193402b3MD5710438/6272023-11-08 14:40:07.667open.accessoai:repositorio.fgv.br:10438/627https://repositorio.fgv.brRepositório InstitucionalPRIhttp://bibliotecadigital.fgv.br/dspace-oai/requestopendoar:39742023-11-08T14:40:07Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV)false |
dc.title.eng.fl_str_mv |
Common cycles in macroeconomic aggregates (revised version) |
title |
Common cycles in macroeconomic aggregates (revised version) |
spellingShingle |
Common cycles in macroeconomic aggregates (revised version) Issler, João Victor Economia Ciclos econômicos Macroeconomia Economia |
title_short |
Common cycles in macroeconomic aggregates (revised version) |
title_full |
Common cycles in macroeconomic aggregates (revised version) |
title_fullStr |
Common cycles in macroeconomic aggregates (revised version) |
title_full_unstemmed |
Common cycles in macroeconomic aggregates (revised version) |
title_sort |
Common cycles in macroeconomic aggregates (revised version) |
author |
Issler, João Victor |
author_facet |
Issler, João Victor Vahid, Farshid |
author_role |
author |
author2 |
Vahid, Farshid |
author2_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EPGE |
dc.contributor.affiliation.none.fl_str_mv |
FGV |
dc.contributor.author.fl_str_mv |
Issler, João Victor Vahid, Farshid |
dc.subject.area.por.fl_str_mv |
Economia |
topic |
Economia Ciclos econômicos Macroeconomia Economia |
dc.subject.bibliodata.por.fl_str_mv |
Ciclos econômicos Macroeconomia Economia |
description |
Although there has been substantial research on long-run co-movement (common trends) in the empirical macroeconomics literature. little or no work has been done on short run co-movement (common cycles). Investigating common cycles is important on two grounds: first. their existence is an implication of most dynamic macroeconomic models. Second. they impose important restrictions on dynamic systems. Which can be used for efficient estimation and forecasting. In this paper. using a methodology that takes into account short- and long-run co-movement restrictions. we investigate their existence in a multivariate data set containing U.S. per-capita output. consumption. and investment. As predicted by theory. the data have common trends and common cycles. Based on the results of a post-sample forecasting comparison between restricted and unrestricted systems. we show that a non-trivial loss of efficiency results when common cycles are ignored. If permanent shocks are associated with changes in productivity. the latter fails to be an important source of variation for output and investment contradicting simple aggregate dynamic models. Nevertheless. these shocks play a very important role in explaining the variation of consumption. Showing evidence of smoothing. Furthermore. it seems that permanent shocks to output play a much more important role in explaining unemployment fluctuations than previously thought. |
publishDate |
1995 |
dc.date.issued.fl_str_mv |
1995-02 |
dc.date.accessioned.fl_str_mv |
2008-05-13T15:28:30Z |
dc.date.available.fl_str_mv |
2008-05-13T15:28:30Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
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info:eu-repo/semantics/article |
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article |
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publishedVersion |
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http://hdl.handle.net/10438/627 |
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0104-8910 |
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0104-8910 |
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http://hdl.handle.net/10438/627 |
dc.language.iso.fl_str_mv |
eng |
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eng |
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Ensaios Econômicos;257 |
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info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.publisher.none.fl_str_mv |
Escola de Pós-Graduação em Economia da FGV |
publisher.none.fl_str_mv |
Escola de Pós-Graduação em Economia da FGV |
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