Trend in cycle or cycle in trend? New structural identifications for unobserved components models of U.S. real GDP

Mardi Dungey, Jan P. A. M. Jacobs, Jing Tian, Simon van Norden

OnderzoeksoutputAcademicpeer review

4 Citaten (Scopus)
1 Downloads (Pure)

Samenvatting

A well-documented property of the Beveridge–Nelson trend–cycle decomposition is the perfect negative correlation between trend and cycle innovations. We show how this may be consistent with a structural model where permanent innovations enter the cycle or transitory innovations enter the trend, and that identification restrictions are necessary to make this structural distinction. A reduced-form unrestricted version is compatible with either option, but cannot distinguish which is relevant. We discuss economic interpretations and implications using U.S. real GDP data.
Originele taal-2English
Pagina's (van-tot)776-790
Aantal pagina's15
TijdschriftMacroeconomic Dynamics
Volume19
Nummer van het tijdschrift4
DOI's
StatusPublished - jun-2015

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