The Library
Nonlinear permanent - temporary decompositions in macroeconomics and finance
Tools
Clarida, Richard H. and Taylor, Mark P. (2003) Nonlinear permanent - temporary decompositions in macroeconomics and finance. In: Conference of the Royal-Economic-Society, University of Warwick, UK, 25-27 Mar 2002. Published in: Economic Journal, 113 (486). C125-C139. doi:10.1111/1468-0297.00118 ISSN 0013-0133.
Research output not available from this repository.
Request-a-Copy directly from author or use local Library Get it For Me service.
Official URL: http://dx.doi.org/10.1111/1468-0297.00118
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 (Paper) | ||||
---|---|---|---|---|---|
Subjects: | H Social Sciences > HC Economic History and Conditions | ||||
Divisions: | Faculty of Social Sciences > Warwick Business School | ||||
Journal or Publication Title: | Economic Journal | ||||
Publisher: | Blackwell | ||||
ISSN: | 0013-0133 | ||||
Official Date: | 10 March 2003 | ||||
Dates: |
|
||||
Volume: | 113 | ||||
Number: | 486 | ||||
Number of Pages: | 15 | ||||
Page Range: | C125-C139 | ||||
DOI: | 10.1111/1468-0297.00118 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access | ||||
Conference Paper Type: | Paper | ||||
Title of Event: | Conference of the Royal-Economic-Society | ||||
Type of Event: | Conference | ||||
Location of Event: | University of Warwick, UK | ||||
Date(s) of Event: | 25-27 Mar 2002 |
Data sourced from Thomson Reuters' Web of Knowledge
Request changes or add full text files to a record
Repository staff actions (login required)
View Item |