Weber, Enzo (2009) A Simultaneous Unobserved Components Analysis of US Output and the Great Moderation. Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft 432, Working Paper, Regensburg.
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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 ...
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| Item type: | Monograph (Working Paper) | ||||||
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| Series of the University of Regensburg: | Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft | ||||||
| Date: | 10 July 2009 | ||||||
| Institutions: | Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie | ||||||
| Interdisciplinary Subject Network: | Not selected | ||||||
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| Classification: |
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| Keywords: | Unobserved Components, Trend, Cycle, Identification, Great Moderation | ||||||
| Dewey Decimal Classification: | 300 Social sciences > 330 Economics | ||||||
| Status: | Published | ||||||
| Refereed: | No, this document will not be refereed | ||||||
| Created at the University of Regensburg: | Yes | ||||||
| Item ID: | 8613 |
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