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Persistence in Real GDP: Evidence from Europe and the US

Author

Listed:
  • Guglielmo Maria Caporale
  • Luis Alberiko Gil-Alana

Abstract

This note provides extensive evidence on the persistence properties of real GDP in 17 European countries and in the US over the period 1960-2023 using a fractional integration framework. The analysis suggests that in all cases shocks have permanent effects on the level of real GDP. This is consistent with the idea that it is the growth rate of output which is stationary and fluctuates around a long-run equilibrium level. Further, the degree of persistence varies across countries, with the US, Greece and Spain exhibiting the highest one and Sweden and Ireland the lowest. Policy makers should take such properties into account when formulating appropriate stabilisation policies.

Suggested Citation

  • Guglielmo Maria Caporale & Luis Alberiko Gil-Alana, 2025. "Persistence in Real GDP: Evidence from Europe and the US," CESifo Working Paper Series 11764, CESifo.
    • Handle: RePEc:ces:ceswps:_11764
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    File URL: https://www.cesifo.org/DocDL/cesifo1_wp11764.pdf
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    More about this item

    Keywords

    real GDP; time series; persistence; fractional integration.;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E23 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Production

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