G2TT
来源类型Working Paper
规范类型报告
DOI10.3386/w2229
来源IDWorking Paper 2229
Stochastic Trends and Economic Fluctuations
Robert G. King; Charles I. Plosser; James H. Stock; Mark W. Watson
发表日期1987-04-01
出版年1987
语种英语
摘要Recent developments in macroeconomic theory emphasize that transient economic fluctuations can arise as responses to changes in long run factors -- in particular, technological improvements -- rather than short run factors. This contrasts with the view that short run fluctuations and shifts in long run trends are largely unrelated. We examine empirically the effect of shifts in stochastic trends that are common to several macroeconomic series. Using a linear time series model related to a VAR, we consider first a system with GNP, consumption and investment with a single common stochastic trend; we then examine this system augmented by money and prices and an additional stochastic trend. Our results suggest that movements in the "real" stochastic trend account for one-half to two-thirds of the variation in postwar U.S. GNP.
主题Econometrics
URLhttps://www.nber.org/papers/w2229
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/559483
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GB/T 7714
Robert G. King,Charles I. Plosser,James H. Stock,et al. Stochastic Trends and Economic Fluctuations. 1987.
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