International Evidence on Output Fluctuation and Shock Persistence

Posted: 19 Mar 2003

See all articles by Daniel Levy

Daniel Levy

Bar-Ilan University - Department of Economics; Emory University - Department of Economics; Rimini Center for Economic Analysis

Hashem Dezhbakhsh

Emory University - Department of Economics

Abstract

We estimate output growth rate spectra for 58 countries. The spectra exhibit diverse shapes. To study the sources of this diversity, we estimate the short-run, business cycle, and long-run frequency components of the sampled series. For most OECD countries the bulk of the spectral mass is in the business cycle frequency band, and the magnitude of this cyclical component increases with income. For the developing countries, however, the spectral mass is not concentrated in the business cycle frequency band, and the income-cycle relationship is not as strong. We also estimate two frequency domain measures of shock persistence and find both measures to vary considerably across countries, with the U.S. having the lowest estimates. For the OECD countries most of the variation in the variance ratio statistic appears to be explained by the variation in the long-term growth component.

Keywords: Output Fluctuation, Shock Persistence, Spectral Analysis, Frequency Domain, Short Run, Business Cycle, Long Run, Cyclical Component, OECD, Developed Countries, Developing Countries, Frequency Domain Measures of Shock Persistence, Income-Cycle Relationship, Spectral Mass

JEL Classification: C32, E30, E32, O40, O57

Suggested Citation

Levy, Daniel and Dezhbakhsh, Hashem, International Evidence on Output Fluctuation and Shock Persistence. Journal of Monetary Economics, Vol. 50, No. 7, pp. 1499, 1530, October 2003. Available at SSRN: https://ssrn.com/abstract=372881

Daniel Levy

Bar-Ilan University - Department of Economics ( email )

Ramat-Gan, 5290002
Israel
+972 3 531-8345 (Phone)
+972 3 738-4034 (Fax)

HOME PAGE: http://econ.biu.ac.il/en/levy

Emory University - Department of Economics ( email )

1602 Fishburne Drive, Suite 306
Rich Building
Atlanta, GA 30322-0001
United States

HOME PAGE: http://economics.emory.edu/home/people/faculty/Levydaniel.html

Rimini Center for Economic Analysis ( email )

Wilfrid Laurier University
75 University Ave W.
Waterloo, Ontario N2L3C5
Canada

HOME PAGE: http://rcea.org/

Hashem Dezhbakhsh (Contact Author)

Emory University - Department of Economics ( email )

1602 Fishburne Drive
Atlanta, GA 30322
United States
404-727-4679 (Phone)
404-727-4639 (Fax)

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