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International Evidence on the Persistence of Economic Fluctuations

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  • John Y. Campbell
  • N. Gregory Mankiw

Abstract

This paper presents new evidence on the persistence of fluctuations in real GNP. Two measures of persistence are estimated non-parametrically using post-war quarterly data from Canada, France, Germany, Italy, Japan, the United Kingdom. and the United States. These estimates are compared with Monte Carlo results from various AR(2) processes. For six out of seven countries, the results indicate that a 1 percent shock to output should change the long-run univariate forecast of output by well over I percent. Low-order ARM models for output growth are also estimated, and yield similar conclusions. Finally, the persistence in relative outputs of different countries is examined.

Suggested Citation

  • John Y. Campbell & N. Gregory Mankiw, 1988. "International Evidence on the Persistence of Economic Fluctuations," NBER Working Papers 2498, National Bureau of Economic Research, Inc.
    • Handle: RePEc:nbr:nberwo:2498
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