Shock Persistence and Stochastic Trends in Australian Aggregate Output and Consumption*
作者:
LUIGI ERMINI,
期刊:
Economic Record
(WILEY Available online 1993)
卷期:
Volume 69,
issue 1
页码: 34-43
ISSN:0013-0249
年代: 1993
DOI:10.1111/j.1475-4932.1993.tb01796.x
出版商: Blackwell Publishing Ltd
数据来源: WILEY
摘要:
The distinction between transitory and permanent shocks is at the centre of the debate on which class of models is best suited to represent economic variables: stationary models around a deterministic trend, or stationary models around a stochastic trend The debate u here focused on the Australian case. It is found that both aggregate output and consumption are characterized by stochastic trends, but without a transitory component This corresponds to a measure of shock persistence equal to one for both variables. For the specific case of aggregate output, this result may be interpreted as indicating the absence of business cycles
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