Detalle Publicación

ARTÍCULO
Fractional integration and structural breaks in US macro dynamics
Título de la revista: EMPIRICAL ECONOMICS
ISSN: 0377-7332
Volumen: 43
Número: 1
Páginas: 427-446
Fecha de publicación: 2012
Lugar: WOS
Resumen:
This article identifies structural breaks in the post-World War II joint dynamics of U.S. inflation, unemployment and the short-term interest rate. We use a structural break-date procedure which allows for long-memory behavior in all three series and perform the analysis for alternative data frequencies. Both long-memory and short-run coefficients are relevant for characterizing the changing patterns of U.S. macroeconomic dynamics. We provide an economic interpretation of those changes by examining the link between macroeconomic events and structural breaks.