International interdependence of national growth rates: A structural trends analysis

• 成果类型: Article
• 署名作者: Daniel, BC
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/S0304-3932(97)00034-2
• 发表日期: 1997
• 页码: 73-96
• 关键词: structural trends; cointegration; oil prices

摘要

This paper identifies two structural trends responsible for growth in per capita industrial production in the US, the UK and Japan, First, using Johansen's multivariate cointegration approach, the number of common trends in the three industrial production series and the real price of oil is estimated to be two. Next, long-run restrictions are used to separate structural errors with temporary effects from those with permanent effects. Finally, it is assumed that the oil price is affected by only a single structural trend. This identifies a trend, which has a structural interpretation as a natural resource constraint, and another trend with positive drift, interpreted as productivity.