How are shocks to trend and cycle correlated? :
a simple methodology for unidentified unobserved components models /
Daisuke Nagakura

Description

Main Author

Nagakura, Daisuke

Related Names

Nihon Ginkō. Kin'yū Kenkyūjo

Language(s)

English

Published

Tokyo : Institute for Monetary and Economic Studies, Bank of Japan, [2008]

Subjects

Gross national product > Gross national product / Great Britain > Gross national product / Great Britain / Mathematical models
Gross national product > Gross national product / United States > Gross national product / United States / Mathematical models
Business cycles > Business cycles / Great Britain > Business cycles / Great Britain / Mathematical models
Business cycles > Business cycles / United States > Business cycles / United States / Mathematical models
Equilibrium (Economics) > Equilibrium (Economics) / Mathematical models
Business cycles > Business cycles / Mathematical models

Summary

Business Cycle Analysis; Trend; Cycle; Permanent Component; Transitory Component; Unobserved Components Model
In this paper, we propose a simple methodology for investigating how shocks to trend and cycle are correlated in unidentified unobserved components models, in which the correlation is not identified. The proposed methodology is applied to U.S. and U.K. real GDP data. We find that the correlation parameters are negative for both countries. We also investigate how changing the identification restriction results in different trend and cycle estimates. It is found that estimates of the trend and cycle can vary substantially depending on the identification restrictions imposed.--Author's abstract

Note

"October 2008"
Cover title

Physical Description

14 pages : illustrations ; 30 cm

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