Dungey, Mardi; Jacobs, Jan P.A.M.; Tian, Jing; Norden, … - Federal Reserve Bank of Philadelphia - 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 cyclic shocks enter the trend and that...