On trend-cycle decomposition and data revision

Mardi Dungey, Jan Jacobs, Jing Tian, Simon van Norden

Onderzoeksoutput: Working paperAcademic

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A well-documented property of the Beveridge-Nelson trend-cycle decomposition is the perfect negative correlation between trend and cycle innovations. This paper gives a novel explanation for this negative correlation originating from the Jacobs-van Norden (2011) data revision model. Trend shocks may enter the equation for the cycle or cyclical shocks may enter the trend equation. We discuss economic interpretations and implications, including ltering and smoothing properties.We illustrate the idea with simulations based on the Morley, Nelson and Zivot (2003) outcomes
Originele taal-2English
Plaats van productieGroningen
UitgeverUniversity of Groningen, SOM research school
Aantal pagina's41
StatusPublished - 2012

Publicatie series

NaamSOM Research Reports
UitgeverijUniversity of Groningen, SOM Research School

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