| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w2951 |
| 来源ID | Working Paper 2951 |
| The Sources and Nature of Long-term Memory in the Business Cycle | |
| Joseph G. Haubrich; Andrew W. Lo | |
| 发表日期 | 1989-04-01 |
| 出版年 | 1989 |
| 语种 | 英语 |
| 摘要 | This paper examines the stochastic properties of aggregate macroeconomic time series from the standpoint of fractionally integrated models, and focuses on the persistence of economic shocks. We develop a simple macroeconomic model that exhibits long-term dependence, a consequence of aggregation in the presence of real business cycles. We derive the relation between properties of fractionally integrated macroeconomic time series and those of microeconomic data, and discuss how fiscal policy may alter their stochastic behavior. To implement these results empirically, we employ a test for fractionally integrated time series based on the Hurst-Mandelbrot rescaled range. This test is robust to short-term dependence, and is applied to quarterly and annual real GNP to determine the sources and nature of long-term dependence in the business cycle. |
| 主题 | Macroeconomics |
| URL | https://www.nber.org/papers/w2951 |
| 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/560221 |
| 推荐引用方式 GB/T 7714 | Joseph G. Haubrich,Andrew W. Lo. The Sources and Nature of Long-term Memory in the Business Cycle. 1989. |
| 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 | ||
| w2951.pdf（393KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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