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Please use this identifier to cite or link to this item: https://dspace.lboro.ac.uk/2134/15151

Title: An unobserved components model that yields business and medium-run cycles
Authors: Ma, Jun
Wohar, Mark E.
Keywords: C32
E32
Unobserved components model
Trend-cycle decomposition
Issue Date: 2013
Publisher: Wiley © The Ohio State University
Citation: MA, J. and WOHAR, M.E., 2013. An unobserved components model that yields business and medium-run cycles. Journal of Money, Credit and Banking, 45 (7), pp. 1351 - 1373.
Abstract: We generalize the unobserved components (UC) model to allow the permanent component to have different dynamics than the transitory components when decomposing U.S. economic activity using a multivariate UC model of (log) output, consumption, and investment. We find that these proposed dynamics in the permanent component are statistically significant and distinct from those of the transitory components. Our approach provides an alternative explanation for the growth cycles identified by Comin and Gertler (2006) that is related to the cyclical movements in technology, in a framework consistent with the Beveridge and Nelson (1981) decomposition.
Description: Closed access.
Version: Published
DOI: 10.1111/jmcb.12055
URI: https://dspace.lboro.ac.uk/2134/15151
Publisher Link: http://dx.doi.org/10.1111/jmcb.12055
ISSN: 0022-2879
Appears in Collections:Closed Access (Business School)

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