| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP756 |
| DP756 Information, Forecasts and Measurement of the Business Cycle | |
| Lucrezia Reichlin; George W. Evans | |
| 发表日期 | 1993-01-31 |
| 出版年 | 1993 |
| 语种 | 英语 |
| 摘要 | The Beveridge-Nelson (BN) technique provides a forecast-based method of decomposing a variable such as output, into trend and cycle when the variable is integrated of order one (I (1)). This paper considers the multivariate generalization of the BN decomposition when the information set includes other I (1) and/or stationary variables. We show that the relative importance of the cyclical component depends on the information set, and in particular that multivariate BN decompositions necessarily ascribe more importance to the cyclical component than does the univariate decomposition, provided the information set includes a variable which Granger-causes output. We illustrate the results for post-war data for the United States. |
| 主题 | International Macroeconomics |
| 关键词 | Business cycles Cycle Forecast Granger casuality Information Integrated series Trend |
| URL | https://cepr.org/publications/dp756 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/529910 |
| 推荐引用方式 GB/T 7714 | Lucrezia Reichlin,George W. Evans. DP756 Information, Forecasts and Measurement of the Business Cycle. 1993. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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