Dungey, Mardi; Jacobs, Jan P. A. M.; Jian, Jing; … - Centre Interuniversitaire de Recherche en Analyse des … - 2013
A well-documented property of the Beveridge-Nelson trend-cycle decomposition is the perfect negative correlation between trend and cycle innovations. We show how this may be consistent with a structural model where trend shocks enter the cycle, or cycle shocks enter the trend and that...