In this paper, an Unobserved Components Model is employed to decompose German real GDP into the trend, cycle and … declined from 4.2 per cent in the sixties to 1.4 per cent at the end of the nineties of the last century. 2) The business cycle …

. Estimates show that the trend and cycle innovations are positively correlated. There is evidence suggesting that trend output … growth has slowdown in the past decade. The Bayes factor result indicates that the GDP trend is better modeled as a …

In this paper an Unobserved Components Model is employed to decompose U.S. real GDP into trend and cycle components … the long-run development during the last 50 years can be represented by a segmented linear trend with a break in the drift … rate in the early seventies. A further result is a remarkable decrease in the volatility of the cycle component and the …

Perron and Wada (J Monet Econ 56:749-65, 2009) propose a new method of decomposition of the GDP in its trend and cycle …, which presents a mixture of normals in the disturbances of the trend and cycle component of output. The obtained trend … clearly reflects the structural change undergone in the early 1990s. After a steep decrease of the trend or potential GDP as a …

why: the predictions of traditional real business cycle theory often appear not to be upheld in the data …

This paper reconciles two widely used trend-cycle decompositions of GDP that give markedly different estimates: the … difference arises due to differences in the way the stochastic trend is modeled. Moreover, the HP filter implies that the …