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Measuring the business cycle effects of permanent and transitory shocks in cointegrated time series

✍ Scribed by Marco Centoni; Gianluca Cubadda

Book ID
117332513
Publisher
Elsevier Science
Year
2003
Tongue
English
Weight
76 KB
Volume
80
Category
Article
ISSN
0165-1765

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Understanding the importance of permanent and transitory shocks at business cycle horizons for the UK
✍ Paresh Kumar Narayan πŸ“‚ Article πŸ“… 2008 πŸ› Elsevier Science 🌐 English βš– 466 KB

The goal of this paper is to examine the relative importance of permanent and transitory shocks in explaining variations in macroeconomic aggregates for the UK at business cycle horizons. Using the common trend-common cycle restrictions, we estimate a variance decomposition of shocks, and find that