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Macroeconomic Data (macroeconomic + data)

Distribution by Scientific Domains
Business, Economics, Finance and Accounting100%

Selected Abstracts

The Effects of Inflation and the Business Cycle on Revisions of Macroeconomic Data

THE AUSTRALIAN ECONOMIC REVIEW, Issue 3 2002
Christopher Bajada
Although national accounts data provide the most comprehensive overview of economic activity, preliminary estimates are subject to much revision before they are regarded as reliable indicators. Oddly enough, the market acts on the preliminary estimates as though they were final and complete. Even though there exists a considerable international literature on the statistical properties of these revisions, little attention has been devoted to the effects of inflation and the business cycle on the size and direction of these early revisions. The aim of this article is to provide the first known examination of these effects. The findings in this article suggest that preliminary estimates are more reliable in periods of low inflationary economic growth. [source]

The Band Pass Filter*

INTERNATIONAL ECONOMIC REVIEW, Issue 2 2003
Lawrence J. Christiano
We develop optimal finite-sample approximations for the band pass filter. These approximations include one-sided filters that can be used in real time. Optimal approximations depend upon the details of the time series representation that generates the data. Fortunately, for U.S. macroeconomic data, getting the details exactly right is not crucial. A simple approach, based on the generally false assumption that the data are generated by a random walk, is nearly optimal. We use the tools discussed here to document a new fact: There has been a significant shift in the money,inflation relationship before and after 1960. [source]

Persistence of business cycles in multisector real business cycle models

INTERNATIONAL JOURNAL OF ECONOMIC THEORY, Issue 3-4 2006
Jess Benhabib
E00; E3; O40 In this paper we explore whether the changing composition of output in response to technology shocks can play a significant role in the propagation of shocks over time. For this purpose we study two multisector real business cycle models, with two and three sectors. We find that, although the two-sector model requires a high intertemporal elasticity of substitution of consumption to match the various dynamic properties of US macroeconomic data, the three-sector model has a strong propagation mechanism under conventional parameterizations, as long as the factor intensities in the three sectors are different enough. [source]

A common model approach to macroeconomics: using panel data to reduce sampling error

JOURNAL OF FORECASTING, Issue 3 2005
William T. Gavin
Abstract Is there a common model inherent in macroeconomic data? Macroeconomic theory suggests that market economies of various nations should share many similar dynamic patterns; as a result, individual country empirical models, for a wide variety of countries, often include the same variables. Yet, empirical studies often find important roles for idiosyncratic shocks in the differing macroeconomic performance of countries. We use forecasting criteria to examine the macrodynamic behaviour of 15 OECD countries in terms of a small set of familiar, widely used core economic variables, omitting country-specific shocks. We find this small set of variables and a simple VAR ,common model' strongly support the hypothesis that many industrialized nations have similar macroeconomic dynamics. Copyright © 2005 John Wiley & Sons, Ltd. [source]