UNSPECIFIED (2003) Nonlinear permanent - Temporary decompositions in macroeconomics and finance. In: Conference of the Royal-Economic-Society, MAR 25-27, 2002, WARWICK, ENGLAND.

Full text not available from this repository.

Abstract

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.

Item Type:	Conference Item (UNSPECIFIED)
Subjects:	H Social Sciences > HC Economic History and Conditions
Journal or Publication Title:	ECONOMIC JOURNAL
Publisher:	BLACKWELL PUBL LTD
ISSN:	0013-0133
Date:	March 2003
Volume:	113
Number:	486
Number of Pages:	15
Page Range:	C125-C139
Publication Status:	Published
Title of Event:	Conference of the Royal-Economic-Society
Location of Event:	WARWICK, ENGLAND
Date(s) of Event:	MAR 25-27, 2002
URI:	http://wrap.warwick.ac.uk/id/eprint/9864

Data sourced from Thomson Reuters' Web of Knowledge

Request changes to a record

Actions (login required)

View Item