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不同波动率状态下的不确定性AI 解读

Summary We propose a nonrecursive identification scheme for uncertainty shocks that exploits breaks in the volatility of macroeconomic variables and is novel in the literature on uncertainty. This approach allows us to simultaneously address two major questions in the empirical literature: Is uncertainty a cause or effect of decline in economic activity? Does the relationship between uncertainty and economic activity change across macroeconomic regimes? Results based on a…

重新审视 Nelson–Plosser：自相关函数方法AI 解读

We detect a new stylized fact that is common to the dynamics of all macroeconomic series, including financial aggregates. Their Auto-Correlation Functions (ACFs) share a common four-parameter functional form that arises from the dynamics of a general equilibrium model with heterogeneous firms. We find that, not only does our formula fit the data better than the ACFs that arise from auto-regressive and fractionally-integrated models, but it also yields the correct shape of…

国际产出趋同：来自自相关函数方法的证据AI 解读

Abstract This paper uses an autocorrelation function (ACF) approach to develop a new testing procedure for international output convergence. We define convergence in terms of sample ACFs of detrended output per capita, and construct an inference set‐up based on resampling and subsampling techniques for dependent data. Using per capita GDP for 15 OECD countries observed over a century, we find that the hypothesis of conditional convergence is unsupported; that, the USA apart,…