Nonlinear Permanent - Temporary Decompositions in Macroeconomics and Finance  

Oleh:

Clarida, Richard H. ; Taylor, Mark P.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Economic Journal (EBSCO) vol. 113 no. 486 (2003), page C125-C139.
Topik: decomposition; non linear permanent; decompositions; macro economics; finance
Fulltext: C125.pdf (133.34KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: EE28.10 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

We suggest a method of decomposing univariate and multivariate nonlinear processes into their permanent and temporary components, extending the analysis of Beveridge and Nelson (1981) and Stock and Watson (1987). We provide applications in the univariate nonlinear case to recent work on nonlinearities in the US business cycle, and in the multivariate nonlinear case to recent work on asymmetric nonlinear adjustment in the term structure of interest rates for the US. The business cycle results suggest that the method may be particularly useful in future research on output fluctuations.

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