| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w2229 |
| 来源ID | Working 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 |
| URL | https://www.nber.org/papers/w2229 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/559483 |
| 推荐引用方式 GB/T 7714 | Robert G. King,Charles I. Plosser,James H. Stock,et al. Stochastic Trends and Economic Fluctuations. 1987. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w2229.pdf（369KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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