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A long-memory model for multiple cycles with an application to the S&P500
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2024
This paper proposes a long-memory model including multiple cycles in addition to the long-run component. Specifically, instead of a single pole or singularity in the spectrum, it allows for multiple poles and thus different cycles with different degrees of persistence. It also incorporates...
Persistent link: https://www.econbiz.de/10014470433
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Do large recessions reduce output permanently?
Hosseinkouchack, Mehdi; Wolters, Maik H. - 2012
The slow recovery following the 2008/2009 recession has led to renewed interest in the question whether deep recessions lower real GDP permanently or whether we can expect a rebound to earlier trend levels. Using a recent quantile autoregression unit root test we check whether shocks to real GDP...
Persistent link: https://www.econbiz.de/10009673738
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Do large recessions reduce output permanently?
Hosseinkouchack, Mehdi; Wolters, Maik H. - 2012
The slow recovery following the 2008/2009 recession has led to renewed interest in the question whether deep recessions lower real GDP permanently or whether we can expect a rebound to earlier trend levels. Using a recent quantile autoregression unit root test we check whether shocks to real GDP...
Persistent link: https://www.econbiz.de/10009682078
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A wavelet investigation of periodic long swings in the economy : the original data of Kondratieff and some important series of GDP per capita
Focacci, Antonio - In: Economies : open access journal 11 (2023) 9, pp. 1-21
The existence of fluctuations is part of the narrative, especially when there is a slowdown (or worse, a contraction) in economic activity. The presence of long waves with a period of about 50 years as proposed by Kondratieff is one of the most controversial and fascinating theories about...
Persistent link: https://www.econbiz.de/10014432013
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Do large recessions reduce output permanently? : conference paper
Hosseinkouchack, Mehdi; Wolters, Maik H. - 2013
The slow recovery following the 2008/2009 recession has led to renewed interest in the question whether deep recessions lower real GDP permanently or whether we can expect a rebound to earlier trend levels. Using a recent quantile autoregression unit root test we check whether shocks to real GDP...
Persistent link: https://www.econbiz.de/10010340611
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Business fluctuations, job flows and trade unions : dynamics in the economy
Schirwitz, Beate - 2013
This study was prepared by Beate Schirwitz while she was working at the Ifo Institute’s Dresden Branch. It was completed in February 2012 and accepted as a doctoral thesis by the Faculty of Law, Management, and Economics at the Johannes Gutenberg University Mainz in July 2012. It focuses on a...
Persistent link: https://www.econbiz.de/10011697527
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Trends and cycles in macro series : the case of US real GDP
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2017
In this paper we propose a new modelling framework for the analysis of macro series that includes both stochastic trends and stochastic cycles in addition to deterministic terms such as linear and non-linear trends. We examine four US macro series, namely annual and quarterly real GDP and GDP...
Persistent link: https://www.econbiz.de/10011750067
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Trends and cycles in macro series : the case of US real GDP
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2017
In this paper we propose a new modelling framework for the analysis of macro series that includes both stochastic trends and stochastic cycles in addition to deterministic terms such as linear and non-linear trends. We examine four US macro series, namely annual and quarterly real GDP and GDP...
Persistent link: https://www.econbiz.de/10011746636
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Long-run trends and cycles in US house prices
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2023
This paper analyses US nominal house prices at an annual frequency over the period from 1927 to 2022 by means of a very general time series model. This includes both a (linear and non-linear) deterministic and a stochastic component, with the latter allowing for fractional orders of integration...
Persistent link: https://www.econbiz.de/10014427184
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Effects of exchange rate, output gap, and output gap volatility on inflation volatility in Turkey
Özer, Mustafa; Grubišić, Zoran; Küçüksakarya, Sevilay - In: Journal of central banking theory and practice 12 (2023) 1, pp. 5-26
This study first investigates the short and long-run effectsof exchange rate, output gap and output gap volatility on … inflation volatility.Also, causality tests results indicate that changes in the exchangerate, output gap volatility, and output … gap will have permanent andtemporary causal effects on inflation volatility. The policymakersshould carefully consider …
Persistent link: https://www.econbiz.de/10014312187