Let's take a break: Trends and cycles in US real GDP

• 成果类型: Article
• 署名作者: Perron, Pierre; Wada, Tatsuma
• 署名单位: Boston University; Wayne State University
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2009.08.001
• 发表日期: 2009
• 页码: 749-765
• 关键词: Trend-cycle decomposition; structural change; Non-Gaussian filtering; Unobserved components model; Beveridge-Nelson decomposition

摘要

Trend-cycle decompositions for US real GDP such as the unobserved components models, the Beveridge-Nelson decomposition, the Hodrick-Prescott filter and others yield very different cycles which bear little resemblance to the NBER chronology, ascribes much movements to the trend leaving little to the cycle, and some imply a negative correlation between the noise to the cycle and the trend. We argue that these features are artifacts created by the neglect of a change in the slope of the trend function. Once this is accounted for, all methods yield the same cycle with a trend that is non-stochastic except for a few periods around 1973. The cycle is more important in magnitude than previously reported and it accords well with the NBER chronology. Our results are corroborated using an alternative trend-cycle decomposition based on a generalized unobserved components models with errors having a mixture of normals distribution for both the slope of the trend function and the cyclical component. (C) 2009 Elsevier B.V. All rights reserved.