A Simultaneous Unobserved Components Analysis of US Output and the Great Moderation

URN to cite this document:: urn:nbn:de:bvb:355-epub-86130
DOI to cite this document:: 10.5283/epub.8613

Weber, Enzo

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Date of publication of this fulltext: 05 Aug 2009 14:00

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Abstract

In an unobserved components framework of US output trend and cycle, this paper seeks to determine the causal interaction between permanent and transitory innovations. For the purpose of identification, strategies of augmenting the cyclical dynamics as well as allowing for shifts in volatility are proposed. In the early 1980s, substantial predominance of cycle shocks gives way to strong negative ...