IDEAS home Printed from https://ideas.repec.org/r/eee/moneco/v56y2009i6p749-765.html
   My bibliography  Save this item

Let's take a break: Trends and cycles in US real GDP

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Günes Kamber & James Morley & Benjamin Wong, 2018. "Intuitive and Reliable Estimates of the Output Gap from a Beveridge-Nelson Filter," The Review of Economics and Statistics, MIT Press, vol. 100(3), pages 550-566, July.
  2. Jaeho Kim & Sora Chon, 2020. "Why are Bayesian trend-cycle decompositions of US real GDP so different?," Empirical Economics, Springer, vol. 58(3), pages 1339-1354, March.
  3. Marlon Fritz & Thomas Gries & Yuanhua Feng, 2019. "Growth Trends and Systematic Patterns of Booms and Busts‐Testing 200 Years of Business Cycle Dynamics," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 81(1), pages 62-78, February.
  4. Yu-Fan Huang & Sui Luo, 2018. "Potential output and inflation dynamics after the Great Recession," Empirical Economics, Springer, vol. 55(2), pages 495-517, September.
  5. Nooman Rebei & Rashid Sbia, 2021. "Transitory and permanent shocks in the global market for crude oil," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(7), pages 1047-1064, November.
  6. Ascari, Guido & Castelnuovo, Efrem & Rossi, Lorenza, 2011. "Calvo vs. Rotemberg in a trend inflation world: An empirical investigation," Journal of Economic Dynamics and Control, Elsevier, vol. 35(11), pages 1852-1867.
  7. Angelia L. Grant & Joshua C.C. Chan, 2017. "A Bayesian Model Comparison for Trend‐Cycle Decompositions of Output," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 49(2-3), pages 525-552, March.
  8. Kuang, Pei & Mitra, Kaushik, 2016. "Long-run growth uncertainty," Journal of Monetary Economics, Elsevier, vol. 79(C), pages 67-80.
  9. Stephane Dees & M. Hashem Pesaran & L. Vanessa Smith & Ron P. Smith, 2010. "Supply, Demand and Monetary Policy Shocks in a Multi-Country New Keynesian Model," CESifo Working Paper Series 3081, CESifo.
  10. Xu, Jiawen & Perron, Pierre, 2014. "Forecasting return volatility: Level shifts with varying jump probability and mean reversion," International Journal of Forecasting, Elsevier, vol. 30(3), pages 449-463.
  11. David O. Cushman, 2012. "Mankiw vs. DeLong and Krugman on the CEA's Real GDP Forecasts in Early 2009: What Might a Time Series Econometrician Have Said?," Econ Journal Watch, Econ Journal Watch, vol. 9(3), pages 309-349, September.
  12. Drew Creal & Siem Jan Koopman & Eric Zivot, 2010. "Extracting a robust US business cycle using a time-varying multivariate model-based bandpass filter," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(4), pages 695-719.
  13. Agbeyegbe, Terence D., 2020. "Bayesian analysis of output gap in Barbados," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 1(1).
  14. Rodríguez, Gabriel, 2017. "Modeling Latin-American stock and Forex markets volatility: Empirical application of a model with random level shifts and genuine long memory," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 393-420.
  15. Hanno Lustig & Adrien Verdelhan, 2011. "The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: Reply," American Economic Review, American Economic Association, vol. 101(7), pages 3477-3500, December.
  16. Juan Antolin-Diaz & Thomas Drechsel & Ivan Petrella, 2017. "Tracking the Slowdown in Long-Run GDP Growth," The Review of Economics and Statistics, MIT Press, vol. 99(2), pages 343-356, May.
  17. Ulrich Haskamp, 2014. "Was Spanish fiscal policy sustainable?," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 41(2), pages 273-286, May.
  18. Castillo, Luis & Florián, David, 2019. "Measuring the output gap, potential output growth and natural interest rate from a semi-structural dynamic model for Peru," Working Papers 2019-012, Banco Central de Reserva del Perú.
  19. Andreas Fuster & Benjamin Hebert & David Laibson, 2012. "Natural Expectations, Macroeconomic Dynamics, and Asset Pricing," NBER Macroeconomics Annual, University of Chicago Press, vol. 26(1), pages 1-48.
  20. de Carvalho, Miguel & Rua, António, 2017. "Real-time nowcasting the US output gap: Singular spectrum analysis at work," International Journal of Forecasting, Elsevier, vol. 33(1), pages 185-198.
  21. Bruns, Stephan B. & Csereklyei, Zsuzsanna & Stern, David I., 2020. "A multicointegration model of global climate change," Journal of Econometrics, Elsevier, vol. 214(1), pages 175-197.
  22. Petrella, Ivan & Drechsel, Thomas & Antolin-Diaz, Juan, 2014. "Following the Trend: Tracking GDP when Long-Run Growth is Uncertain," CEPR Discussion Papers 10272, C.E.P.R. Discussion Papers.
  23. Mikio Ito & Akihiko Noda & Tatsuma Wada, 2016. "The evolution of stock market efficiency in the US: a non-Bayesian time-varying model approach," Applied Economics, Taylor & Francis Journals, vol. 48(7), pages 621-635, February.
  24. Gabriel Rodríguez & Roxana Tramontana Tocto, 2015. "Application of a Short Memory Model With Random Level Shifts to the Volatility of Latin American Stock Market Returns," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 52(2), pages 185-211, November.
  25. Guérin, Pierre & Maurin, Laurent & Mohr, Matthias, 2015. "Trend-Cycle Decomposition Of Output And Euro Area Inflation Forecasts: A Real-Time Approach Based On Model Combination," Macroeconomic Dynamics, Cambridge University Press, vol. 19(2), pages 363-393, March.
  26. Lu, Yang K. & Perron, Pierre, 2010. "Modeling and forecasting stock return volatility using a random level shift model," Journal of Empirical Finance, Elsevier, vol. 17(1), pages 138-156, January.
  27. Philippe Bacchetta & Eric Van Wincoop, 2006. "Incomplete information processing: a solution to the forward discount puzzle," Proceedings, Federal Reserve Bank of San Francisco, issue Jun.
  28. Michael D. Bordo & Pierre L. Siklos, 2017. "Central Banks: Evolution and Innovation in Historical Perspective," NBER Working Papers 23847, National Bureau of Economic Research, Inc.
  29. Mardi Dungey & Jan P.A.M. Jacobs & Jing Tian, 2017. "Forecasting output gaps in the G-7 countries: the role of correlated innovations and structural breaks," Applied Economics, Taylor & Francis Journals, vol. 49(45), pages 4554-4566, September.
  30. Max Soloschenko & Enzo Weber, 2021. "Trend-Cycle Interactions and the Subprime Crisis: Analysis of US and Canadian Output," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 17(2), pages 109-128, November.
  31. Fukuda, Kosei, 2012. "Illustrating extraordinary shocks causing trend breaks," Economic Modelling, Elsevier, vol. 29(4), pages 1045-1052.
  32. Junior A. Ojeda Cunya & Gabriel Rodríguez, 2016. "An application of a random level shifts model to the volatility of Peruvian stock and exchange rate returns," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 9(1), pages 34-55, March.
  33. repec:dgr:rugsom:12009-eef is not listed on IDEAS
  34. Tatsuma Wada & Pierre Perron, 2005. "An Alternative Trend-Cycle Decomposition using a State Space Model with Mixtures of Normals: Specifications and Applications to International Data," Boston University - Department of Economics - Working Papers Series WP2005-43, Boston University - Department of Economics.
  35. Philippe Moës, 2012. "Multivariate models with dual cycles: implications for output gap and potential growth measurement," Empirical Economics, Springer, vol. 42(3), pages 791-818, June.
  36. Ángel Guillén & Gabriel Rodríguez, 2014. "Trend-cycle decomposition for Peruvian GDP: application of an alternative method," Latin American Economic Review, Springer;Centro de Investigaciòn y Docencia Económica (CIDE), vol. 23(1), pages 1-44, December.
  37. Francisco Estrada & Pierre Perron, "undated". "Detection and attribution of climate change through econometric methods," Boston University - Department of Economics - Working Papers Series 2013-015, Boston University - Department of Economics.
  38. Ye Li & Pierre Perron & Jiawen Xu, 2017. "Modelling exchange rate volatility with random level shifts," Applied Economics, Taylor & Francis Journals, vol. 49(26), pages 2579-2589, June.
  39. Mitra, Sinchan & Sinclair, Tara M., 2012. "Output Fluctuations In The G-7: An Unobserved Components Approach," Macroeconomic Dynamics, Cambridge University Press, vol. 16(3), pages 396-422, June.
  40. Yamada Hiroshi & Yoon Gawon, 2016. "Selecting the tuning parameter of the ℓ1 trend filter," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(1), pages 97-105, February.
  41. repec:ebl:ecbull:v:3:y:2008:i:60:p:1-9 is not listed on IDEAS
  42. Matei Demetrescu & Robinson Kruse-Becher, 2021. "Is U.S. real output growth really non-normal? Testing distributional assumptions in time-varying location-scale models," CREATES Research Papers 2021-07, Department of Economics and Business Economics, Aarhus University.
  43. Xuan, Chunji & Kim, Chang-Jin & Kim, Dong Heon, 2019. "New dynamics of consumption and output," Journal of Macroeconomics, Elsevier, vol. 60(C), pages 50-59.
  44. Tatsuma Wada & Pierre Perron, 2006. "State Space Model with Mixtures of Normals: Specifications and Applications to International Data," Boston University - Department of Economics - Working Papers Series WP2006-029, Boston University - Department of Economics.
  45. Yasutomo Murasawa, 2016. "The Beveridge–Nelson decomposition of mixed-frequency series," Empirical Economics, Springer, vol. 51(4), pages 1415-1441, December.
  46. Luis Uzeda, 2022. "State Correlation and Forecasting: A Bayesian Approach Using Unobserved Components Models," Advances in Econometrics, in: Essays in Honour of Fabio Canova, volume 44, pages 25-53, Emerald Group Publishing Limited.
  47. Du, Ding & Hu, Ou, 2014. "The long-run component of foreign exchange volatility and stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 31(C), pages 268-284.
  48. Bruns, Stephan B. & König, Johannes & Stern, David I., 2019. "Replication and robustness analysis of ‘energy and economic growth in the USA: A multivariate approach’," Energy Economics, Elsevier, vol. 82(C), pages 100-113.
  49. Mardi Dungey & Jan P.A.M. Jacobs & Jing Jian & Simon van Norden, 2013. "Trend-Cycle Decomposition: Implications from an Exact Structural Identification," CIRANO Working Papers 2013s-23, CIRANO.
  50. Todd E. Clark & Taisuke Nakata, 2006. "The trend growth rate of employment : past, present, and future," Economic Review, Federal Reserve Bank of Kansas City, vol. 91(Q I), pages 43-85.
  51. Cole, Stephen J. & Milani, Fabio, 2021. "Heterogeneity in individual expectations, sentiment, and constant-gain learning," Journal of Economic Behavior & Organization, Elsevier, vol. 188(C), pages 627-650.
  52. James Morley & Irina B. Panovska & Tara M. Sinclair, 2014. "Testing Stationarity for Unobserved Components Models," Discussion Papers 2012-41B, School of Economics, The University of New South Wales.
  53. Barhoumi, Karim & Cherif, Reda & Rebei, Nooman, 2018. "Stochastic trends and fiscal policy," Economic Modelling, Elsevier, vol. 75(C), pages 256-267.
  54. Cremaschini, Alessandro & Maruotti, Antonello, 2023. "A finite mixture analysis of structural breaks in the G-7 gross domestic product series," Research in Economics, Elsevier, vol. 77(1), pages 76-90.
  55. Kim, Chang-Jin & Kim, Jaeho, 2013. "The `Pile-up Problem' in Trend-Cycle Decomposition of Real GDP: Classical and Bayesian Perspectives," MPRA Paper 51118, University Library of Munich, Germany.
  56. Ivan Mendieta-Munoz & Mengheng Li, 2019. "The Multivariate Simultaneous Unobserved Compenents Model and Identification via Heteroskedasticity," Working Paper Series, Department of Economics, University of Utah 2019_06, University of Utah, Department of Economics.
  57. Tobias Hartl & Rolf Tschernig & Enzo Weber, 2020. "Fractional trends and cycles in macroeconomic time series," Papers 2005.05266, arXiv.org, revised May 2020.
  58. Éva Gyurkovics & Tibor Takács, 2023. "Estimation of the potential GDP by a new robust filter method," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 31(4), pages 1183-1207, December.
  59. McNown, Robert & Seip, Knut Lehre, 2011. "Periods and structural breaks in US economic history 1959-2007," Journal of Policy Modeling, Elsevier, vol. 33(2), pages 169-182, March.
  60. Gabriel Rodríguez, 2015. "Modeling Latin-American Stock Markets Volatility: Varying Probabilities and Mean Reversion in a Random Level Shifts Model," Documentos de Trabajo / Working Papers 2015-403, Departamento de Economía - Pontificia Universidad Católica del Perú.
  61. Olivier Darné & Amélie Charles, 2008. "The impact of outliers on transitory and permanent components in macroeconomic time series," Economics Bulletin, AccessEcon, vol. 3(60), pages 1-9.
  62. Rachael McCririck & Daniel Rees, 2016. "The Slowdown in US Productivity Growth: Breaks and Beliefs," RBA Research Discussion Papers rdp2016-08, Reserve Bank of Australia.
  63. Kushal Banik Chowdhury & Nityananda Sarkar, 2017. "Is the Hybrid New Keynesian Phillips Curve Stable? Evidence from Some Emerging Economies," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 15(3), pages 427-449, September.
  64. Josefine Quast & Maik H. Wolters, 2022. "Reliable Real-Time Output Gap Estimates Based on a Modified Hamilton Filter," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(1), pages 152-168, January.
  65. Enders, Walter & Li, Jing, 2015. "Trend-cycle decomposition allowing for multiple smooth structural changes in the trend of US real GDP," Journal of Macroeconomics, Elsevier, vol. 44(C), pages 71-81.
  66. Yoon, Gawon, 2015. "Locating change-points in Hodrick–Prescott trends with an application to US real GDP: A generalized unobserved components model approach," Economic Modelling, Elsevier, vol. 45(C), pages 136-141.
  67. James Morley & Irina B. Panovska & Tara M. Sinclair, 2013. "Testing Stationarity for Unobserved Components Models," Discussion Papers 2012-41A, School of Economics, The University of New South Wales.
  68. Perricone, Chiara, 2018. "Clustering macroeconomic variables," Structural Change and Economic Dynamics, Elsevier, vol. 44(C), pages 23-33.
  69. Fritz, Marlon, 2019. "Steady state adjusting trends using a data-driven local polynomial regression," Economic Modelling, Elsevier, vol. 83(C), pages 312-325.
  70. Cheptiş Alexandra, 2022. "The impact of external shocks on economic growth: An empirical study based on the SVAR models," Proceedings of the International Conference on Business Excellence, Sciendo, vol. 16(1), pages 650-659, August.
  71. Manuel González-Astudillo & John M. Roberts, 2022. "When are trend–cycle decompositions of GDP reliable?," Empirical Economics, Springer, vol. 62(5), pages 2417-2460, May.
  72. Sui Luo & Yu‐Fan Huang & Richard Startz, 2021. "Are Recoveries all the Same: GDP and TFP?," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(5), pages 1111-1129, October.
  73. Steven M. Fazzari & James Morley & Irina B. Panovska, 2017. "When Do Discretionary Changes in Government Spending or Taxes Have Larger Effects?," Discussion Papers 2017-04, School of Economics, The University of New South Wales.
  74. T. Berger, 2008. "Estimating Europe’s Natural Rates from a forward-looking Phillips curve," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 08/498, Ghent University, Faculty of Economics and Business Administration.
  75. Stephan, Gaëtan & Lecumberry, Julien, 2015. "The German unemployment since the Hartz reforms: Permanent or transitory fall?," Economics Letters, Elsevier, vol. 136(C), pages 49-54.
  76. Gaëtan Stephan & Julien Lecumberry, 2015. "The German unemployment since the Hartz reforms: Permanent or transitory fall?," Post-Print halshs-01238494, HAL.
  77. Giovanni Razzu & Carl Singleton, 2013. "Are Business Cycles Gender Neutral?," Economics Discussion Papers em-dp2013-07, Department of Economics, University of Reading.
  78. Wada, Tatsuma, 2012. "On the correlations of trend–cycle errors," Economics Letters, Elsevier, vol. 116(3), pages 396-400.
  79. James Morley, 2014. "Measuring Economic Slack: A Forecast-Based Approach with Applications to Economies in Asia and the Pacific," BIS Working Papers 451, Bank for International Settlements.
  80. Pierre Perron & Francisco Estrada & Carlos Gay-García & Benjamín Martínez-López, 2011. "A time-series analysis of the 20th century climate simulations produced for the IPCC’s AR4," Boston University - Department of Economics - Working Papers Series WP2011-051, Boston University - Department of Economics.
  81. J. Christina Wang, 2014. "Vanishing procyclicality of productivity?: industry evidence," Working Papers 14-15, Federal Reserve Bank of Boston.
  82. Polbin, Andrey & Skrobotov, Anton, 2017. "Спектральная Оценка Компоненты Бизнес Цикла Ввп России С Учетом Высокой Зависимости От Условий Торговли [Spectral estimation of the business cycle component of the Russian GDP under high dependence," MPRA Paper 78667, University Library of Munich, Germany.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.