Trend-Cycle Decompositions
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چکیده
منابع مشابه
A Bayesian Model Comparison for Trend-Cycle Decompositions of Output CAMA Working Paper 31/2015 August 2015
We compare a number of widely used trend-cycle decompositions of output in a formal Bayesian model comparison exercise. This is motivated by the often markedly different results from these decompositions—different decompositions have broad implications for the relative importance of real versus nominal shocks in explaining variations in output. Using US quarterly real GDP, we find that the over...
متن کاملSome Reflections on Trend-Cycle Decompositions with Correlated Components
This paper discusses a few interpretative issues arising from trend-cycle decompositions with correlated components. We determine the conditions under which correlated components may originate from: underestimation of the cyclical component; a cycle in growth rates, rather than in the levels; the hysteresis phenomenon; permanenttransitory decompositions, where the permanent component has richer...
متن کاملWhy Are Trend Cycle Decompositions of Alternative Models So Different?
When a certain procedure is applied to extract two component processes from a single observed process, it is necessary to impose a set of restrictions that defines two components. One popular restriction is the assumption that the shocks to the trend and cycle are orthogonal. Another is the assumption that the trend is a pure random walk process. The unobserved components (UC) model (Harvey, 19...
متن کاملStructural Time Series Models for Business Cycle Analysis
The chapter deals with parametric models for the measurement of the business cycle in economic time series. It presents univariate methods based on parametric trend–cycle decompositions and multivariate models featuring a Phillips type relationship between the output gap and inflation and the estimation of the gap using mixed frequency data. We finally address the issue of assessing the accurac...
متن کاملLet’s Take a Break: Trends and Cycles in US Real GDP∗
Recent work on trend-cycle decompositions for US real GDP yields the following puzzling features: methods based on Unobserved Components models, the BeveridgeNelson decomposition, the Hodrick-Prescott filter and others yield very different cycles which bear little resemblance to the NBER chronology, ascribes much movements to the trend leaving little to the cycle, and some imply a negative corr...
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