Detalle Publicación

ARTÍCULO
Trends and cycles in macro series: The case of US real GDP
Autores: Caporale, G. M. (Autor de correspondencia); Gil Alaña, Luis Alberiko
Título de la revista: BULLETIN OF ECONOMIC RESEARCH
ISSN: 0307-3378
Volumen: 74
Número: 1
Páginas: 123 - 134
Fecha de publicación: 2022
Lugar: WOS
Resumen:
This paper proposes a new modeling framework capturing both the long-run and the cyclical components of a time series. As an illustration, we apply it to four US macro series, namely, annual and quarterly real gross domestic product (GDP) and GDP per capita. The results indicate that the behavior of US GDP can be captured accurately by a model incorporating both stochastic trends and stochastic cycles that allows for some degree of persistence in the data. Both appear to be mean reverting, although the stochastic trend is nonstationary, while the cyclical component is stationary, with cycles repeating themselves every 6-10 years.