International evidence on the size of the random walk in output

T. Cogley

    Research output: Contribution to journalArticle

    Abstract

    This paper contributes three extensions of Cochrane's work on measuring the relative stability of long-term growth. It estimates variance ratios for nine OECD countries over the period 1871-1985, presents an improved approximation to the distribution of the variance ratio, and considers the comovements of long growth cycles across countries. The evidence indicates that the relative stability of long-term growth found by Cochrane is unique to the United States. Relative to the United States most countries have more variable dynamics at low frequencies and smoother dynamics at frequencies traditionally associated with business cycles. -Author

    Original languageEnglish (US)
    Pages (from-to)501-518
    Number of pages18
    JournalJournal of Political Economy
    Volume98
    Issue number3
    DOIs
    StatePublished - 1990

    ASJC Scopus subject areas

    • Economics and Econometrics

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