Is it one break or ongoing permanent shocks that explains U.S. real GDP?期刊界 All Journals 搜尽天下杂志传播学术成果专业期刊搜索期刊信息化学术搜索

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Is it one break or ongoing permanent shocks that explains U.S. real GDP?

Institution:	1. International School of Economics and Management, Capital University of Economics and Business, Beijing, China;2. University of California, Department of Economics, Santa Barbara, CA 93106, United States;1. Sao Paulo School of Economics-FGV, Brazil;2. Michigan State University, United States;1. London Business School, Regent?s Park, London NW1 4SA, United Kingdom;2. Department of Economics, University of Leicester, Leicester LE1 7RH, United Kingdom;1. École Polytechnique Fédérale de Lausanne, Switzerland;2. International Monetary Fund, 700 19th Street, N.W., Washington, D.C. 20431, United States;1. Department of Economics, Vanderbilt University, VU Station B #351819, 2301 Vanderbilt Place, Nashville, TN 37235-1819, USA;2. Florida International University, Miami, FL 33199, USA;1. Banco de Portugal, R. Francisco Ribeiro, 2, 1150-165 Lisboa, Portugal;2. Catolica Lisbon School of Business & Economics, Portugal;3. CEPR, United Kingdom

Abstract:	The relative importance of permanent versus cyclical shocks to GDP has been found to depend on the presence or absence of a single break in mean growth. We estimate unobserved components models conditional on a trend break having occurred in any specified quarter and use the Bayesian model averaging to combine the conditional estimates. We estimate a break occurred around 2006:1. Allowing for a break significantly reduces estimates of trend variance. However, enough spread remains in the posterior distribution to indicate that available data does not definitively settle the question of the relative importance of trend versus cycle.

Keywords:	Trend–cycle decomposition Unobserved components model Structural break Uncertain break date Bayesian analysis
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