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- Title
Predictable Recoveries.
- Authors
Cai, Xiaoming; Den Haan, Wouter J.; Pinder, Jonathan
- Abstract
A random walk with drift is a good univariate representation of US GDP. This paper shows, however, that US economic downturns have been associated with predictable short-term recoveries and with changes in long-term GDP forecasts that are substantially smaller than the initial drop. To detect these predictable changes, it is important to use a multivariate time series model. We discuss reasons why univariate representations can miss key characteristics of the underlying variable such as predictability, especially during recessions.
- Subjects
UNITED States; UNITED States economy; ECONOMIC recovery; UNITED States gross domestic product; ECONOMIC development; ECONOMIC forecasting; RECESSIONS
- Publication
Economica, 2016, Vol 83, Issue 330, p307
- ISSN
0013-0427
- Publication type
Article
- DOI
10.1111/ecca.12185