Large shocks in U.S. macroeconomic time series: 1860?C1988 |
| |
Authors: | Olivier Darn?? Am??lie Charles |
| |
Institution: | (1) LEMNA, IEMN–IAE, University of Nantes, Chemin de la Censive du Tertre, BP 52231, 44322 Nantes, France;(2) School of Management, Audencia Nantes, 8 route de la Joneli?re, 44312 Nantes, France |
| |
Abstract: | In this paper, we examine the large shocks due to major economic or financial events that affected U.S. macroeconomic time
series on the period 1860–1988, using outlier methodology. We show that most of these shocks have a temporary effect, showing
that the U.S. macroeconomic time series experienced only few large permanent shifts in the long term. Most of these large
shocks can be explained by major recessions and World War II as well as by monetary policy for the interest rate data. We
also find that some economic events seem to have the same effect (immediate, transitory or permanent) on a number of macroeconomic
series. Finally, we show that most macroeconomic time series do not seem inconsistent with a stochastic trend once we adjusted
the data for these shocks. |
| |
Keywords: | |
本文献已被 SpringerLink 等数据库收录! |
|