Is it one break or ongoing permanent shocks that explains US real GDP?

• 成果类型: Article
• 署名作者: Luo, Sui; Startz, Richard
• 署名单位: Capital University of Economics & Business; University of California System; University of California Santa Barbara
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2014.04.016
• 发表日期: 2014
• 页码: 155-163
• 关键词: Trend-cycle decomposition; Unobserved components model; structural break; Uncertain break date; Bayesian analysis

摘要

The relative importance of permanent versus cyclical shocks to GDP has been found to depend on the presence or absence of a single break in mean growth. We estimate unobserved components models conditional on a trend break having occurred in any specified quarter and use the Bayesian model averaging to combine the conditional estimates. We estimate a break occurred around 2006:1. Allowing for a break significantly reduces estimates of trend variance. However, enough spread remains in the posterior distribution to indicate that available data does not definitively settle the question of the relative importance of trend versus cycle. (C) 2014 Elsevier B.V. All rights reserved.