The relationships between permanent and transitory movements in U.S. output and the unemployment rate

Journal of Money, Credit and Banking

Volumn 41, Issue 2-3, 2009, Pages 529-542

  Sinclair, Tara M ^a  

^a GEORGE WASHINGTON UNIVERSITY   (United States)

Author keywords

Business cycle; Correlations; Cyclical unemployment; Natural rate of unemployment; Trend GDP; Unobserved components

Indexed keywords

EID: 63649135212     PISSN: 00222879     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1538-4616.2009.00220.x     Document Type: Short Survey

References (39)

1. Attfield, Clifford L. F., and Brian Silverstone 1998 Okun's Law, Cointegration and Gap Variables Journal of Macroeconomics, 20, 625 37.
2. Balke, Nathan S., and Mark E. Wohar 2002 Low-Frequency Movements in Stock Prices: A State-Space Decomposition The Review of Economics and Statistics, 84, 649 67.
3. Barreto, Humberto, and Frank Howland 1993 There Are Two Okun's Law Relationships between Output and Unemployment Wabash College Working Paper.
4. Basistha, Arabinda, and Charles R. Nelson 2007 New Measures of the Output Gap Based on the Forward-Looking New Keynesian Phillips Curve Journal of Monetary Economics, 54, 498 511.
5. Basistha, Arabinda, and Richard Startz 2008 Measuring the NAIRU with Reduced Uncertainty: A Multiple Indicator-Common Cycle Approach Review of Economics and Statistics, 90, 805 11.
6. Beveridge, S., and Charles R. Nelson 1981 A New Approach to Decomposition of Economic Time Series into Permanent and Transitory Components with Particular Attention to Measurement of the Business Cycle Journal of Monetary Economics, 7, 151 74.
7. Blanchard, Olivier J., and Danny Quah 1989 The Dynamic Effects of Aggregate Demand and Supply Disturbances The American Economic Review, 79, 655 73.
8. Clark, Peter K 1987 The Cyclical Component of U.S. Economic Activity The Quarterly Journal of Economics, 102, 797 814.
9. Clark, Peter K 1989 Trend Reversion in Real Output and Unemployment Journal of Econometrics, 40, 15 32.
10. Dickey, David A., and Wayne A. Fuller 1979 Distribution of the Estimators for Autoregressive Time Series with a Unit Root Journal of the American Statistical Association, 74, 427 31.
11. Dreze, Jean, and Charles Bean 1989) Europe's Unemployment Problem. Cambridge, MA : MIT Press.
12. Gordon, Robert J 1997 The Time-Varying NAIRU and Its Implications for Economic Policy Journal of Economic Perspectives, 11, 11 32.
13. Grant, Alan P 2002 Time-Varying Estimates of the Natural Rate of Unemployment: A Revisitation of Okun's Law The Quarterly Review of Economics and Finance, 4295 5113.
14. Hodrick, Robert J., and Edward C. Prescott 1997 Postwar U.S. Business Cycles: An Empirical Investigation Journal of Money, Credit, and Banking, 29, 1 16.
15. Johansen, Soren 1991 Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models Econometrica, 59, 1551 80.
16. Johansen, Soren 1995) Likelihood-Based Inference in Cointegrated Vector Autoregressive Models. Oxford, UK : Oxford University Press.
17. Kim, Chang-Jin, and Charles R. Nelson 1999 Has the U.S. Economy Become More Stable? A Bayesian Approach Based on a Markov-Switching Model of the Business Cycle The Review of Economics and Statistics, 81, 608 16.
18. King, Thomas B., and James C. Morley 2007 In Search of the Natural Rate of Unemployment Journal of Monetary Economics, 54, 550 64.
19. Kydland, Finn E., and Edward C. Prescott 1982 Time to Build and Aggregate Fluctuations Econometrica, 50, 1345 370.
20. Lippi, Marco, and Lucrezia Reichlin 1994 Diffusion of Technical Change and the Decomposition of Output into Trend and Cycle The Review of Economic Studies, 61, 19 30.
21. MacKinnon, James G 1996 Numerical Distribution Functions for Unit Root and Cointegration Tests Journal of Applied Econometrics, 11601 618.
22. McConnell, Margaret, and Gabriel Perez-Quiros 2000 Output Fluctuations in the United States: What Has Changed since the Early 1980s? American Economic Review, 90, 1464 476.
23. Morley, James C 2007a The Slow Adjustment of Aggregate Consumption to Permanent Income Journal of Money, Credit, and Banking, 39, 615 38.
24. Morley, James C 2007b The Two Interpretations of the Beveridge-Nelson Decomposition Washington University Working Paper.
25. Morley, James C., Charles R. Nelson, and Eric Zivot 2003 Why Are the Beveridge-Nelson and Unobserved-Components Decompositions of GDP So Different? The Review of Economics and Statistics, 85, 235 43.
26. Oh, Kum Hwa, and Eric Zivot 2006 The Clark Model with Correlated Components University of Washington Working Paper.
27. Oh, Kum Hwa, Eric Zivot, and Drew Creal 2007 The Relationship between the Beveridge-Nelson Decomposition and Unobserved Components Models with Correlated Shocks University of Washington Working Paper.
28. Okun, Arthur M 1962 Potential GNP: Its Measurement and Significance American Statistical Association: Proceedings of the Business and Economic Statistics Section, 98 104.
29. Papell, David H., Christian J. Murray, and Hala Ghiblawi 2000 The Structure of Unemployment The Review of Economics and Statistics, 82, 309 15.
30. Perron, Pierre, and Tatsuma Wada 2006 Let's Take a Break: Trends and Cycles in US Real GDP Boston University Working Paper.
31. Phillips, Peter C.B., and Pierre Perron 1988 Testing for a Unit Root in Time Series Regression Biometrika, 75, 335 46.
32. Prachowny, Martin F.J. (1993 Okun's Law: Theoretical Foundations and Revised Estimates Review of Economics and Statistics, 75, 331 36.
33. Prescott, Edward C 1987 Theory Ahead of Business Cycle Measurement Carnegie-Rochester Conference on Public Policy, 25, 11 44.
34. Salemi, Michael K 1999 Estimating the Natural Rate of Unemployment and Testing the Natural Rate Hypothesis Journal of Applied Econometrics, 14, 1 25.
35. Schleicher, Christophe 2003 Structural Time Series Models with Common Trends and Common Cycles University of British Columbia Working Paper.
36. Sensier, Marianne, and Dick van Dijk 2004 Testing for Volatility Changes in U.S. Macroeconomic Time Series The Review of Economics and Statistics, 86, 833 39.
37. Stock, James H., and Mark W. Watson 1998 Median Unbiased Estimation of Coefficient Variance in a Time-Varying Parameter Model Journal of the American Statistical Association, 93, 349 58.
38. Watson, Mark W 1986 Univariate Detrending Methods with Stochastic Trends Journal of Monetary Economics, 18, 49 75.
39. Weiner, Stuart E 1993 New Estimates of the Natural Rate of Unemployment Federal Reserve Bank of Kansas City Economic Review, 1993, 53 69.