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Title of Journal: Empirical Economics

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Abbravation: Empirical Economics

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Springer-Verlag

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DOI

10.1007/978-3-540-47383-1_112

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1435-8921

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The role of permanent and transitory components in

Authors: Oleg Korenok Stanislav Radchenko
Publish Date: 2006/01/20
Volume: 31, Issue: 1, Pages: 217-241
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Abstract

The paper examines the processes underlying economic fluctuations by investigating the volatility moderation of US economy in the early 1980s We decompose the volatility decline using a dynamic factor framework into a common stochastic trend common transitory component and idiosyncratic components We find that the moderation of business cycle was a result of the moderation in transitory and idiosyncratic components Our results suggest that important part of stochastic process that drives economy is transitory The paper investigates the role of oil prices monetary and financial market factors Proposed economic factors do not have a significant relationship to either transitory or permanent components In addition we find that transitory shocks are as common during the 1980s and 1990s as they were during the 1960s and 1970sWe would like to thank Bruce Mizrach Sung Won Kang and seminar participants at the 2004 Summer Meetings of Econometric Society Rutgers University and UNCC for helpful feedback Special thanks are to the editor of the journal for helpful comments and to an anonymous referee for proposing an alternative econometric model

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Other Papers In This Journal:
  1. Long-term links between raw materials prices, real exchange rate and relative de-industrialization in a commodity-dependent economy: empirical evidence of “Dutch disease” in Colombia
  2. Estimating the efficiency of general practitioners controlling for case mix and outlier effects
  3. Ricardian equivalence and fiscal distortions in the Dominican Republic
  4. The impact of home production on economic inequality in Germany
  5. The duration of business cycle expansions and contractions: are there change-points in duration dependence?
  6. Macroeconomic effects of fiscal policy in the European Union: a GVAR model
  7. Convergence in per-capita GDP across European regions: a reappraisal
  8. State dependence in welfare receipt: transitions before and after a reform
  9. Distribution dynamics of regional GDP per employee in unified Germany
  10. A micro spatial analysis of firm demography: the case of food stores in the area of Trento (Italy)
  11. The missing trade of China: balls-and-bins model
  12. The elasticity of taxable income of high earners: evidence from Hungary
  13. Politics, stock markets, and model uncertainty
  14. Easy grading practices and supply–demand factors: evidence from Italy
  15. Savings and investments in the OECD: a panel cointegration study with a new bootstrap test
  16. Evaluating the state of competition and the welfare losses in the Greek manufacturing sector: an extended Hall–Roeger approach
  17. Joint estimation of the Lerner index and cost efficiency using copula methods
  18. Assessing the predictive power of financial spreads in the euro area: does parameters instability matter?
  19. Nonlinearities in economic growth and club convergence
  20. A panel data approach to price–value correlations
  21. Structural interactions in spatial panels
  22. Estimation of structural gravity quantile regression models
  23. Comment on: “Optimal dynamic production from a large oil field in Saudi Arabia”
  24. Evidence on copula-based double-hurdle models with flexible margins
  25. How do financial cycles affect public debt cycles?
  26. Bankruptcy in the pulp and paper industry: market’s reaction and prediction
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