Dungey, Mardi; Jacobs, Jan; Tian, Jing; Norden, Simon van - Faculteit Economie en Bedrijfskunde, Rijksuniversiteit … - 2012
A well-documented property of the Beveridge-Nelson trend-cycle decomposition is the perfect negative correlation between trend and cycle innovations. This paper gives a novel explanation for this negative correlation originating from the Jacobs-van Norden (2011) data revision model. Trend shocks...