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Trend-Cycle Interactions and the Subprime Crisis: Analysis of US and Canadian Output

Soloschenko, Max and Weber, Enzo (2012) Trend-Cycle Interactions and the Subprime Crisis: Analysis of US and Canadian Output. Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft 470, Working Paper.

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Abstract

In the following paper a simultaneous unobserved components model is applied to US and Canadian output data in order to examine the causal structure of trend and cycle shocks and the way it changes over time. The main focus is placed on the analysis of the subprime crisis impact on the trend and cycle components. The structural model is identified by means of heteroscedasticity. During the ...

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Item Type:Monograph (Working Paper)
Date:December 2012
Institutions:Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie
Identification Number:
ValueType
RePEc:bay:rdwiwi:27032RePEc Handle
Classification:
NotationType
C32Journal of Economics Literature Classification
E32Journal of Economics Literature Classification
Keywords:unobserved component, trend, cycle, identification, subprime crisis
Subjects:300 Social sciences > 330 Economics
Status:Published
Refereed:No this document will not be refereed
Created at the University of Regensburg:Yes
Owner: Enzo Weber
Deposited On:06 Dec 2012 13:58
Last Modified:07 Apr 2014 07:59
Item ID:27032
Owner Only: item control page
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