Do large recessions reduce output permanently?
We apply a recent quantile autoregression unit root test to US GDP. The test takes into account that the transmission of a shock might depend on the sign and the size of the shock. We find that positive and negative shocks including large recessionary shocks like the 2008/2009 crisis have permanent...
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Veröffentlicht in: | Economics letters 2013-12, Vol.121 (3), p.516-519 |
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Hauptverfasser: | , |
Format: | Artikel |
Sprache: | eng |
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Online-Zugang: | Volltext |
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Zusammenfassung: | We apply a recent quantile autoregression unit root test to US GDP. The test takes into account that the transmission of a shock might depend on the sign and the size of the shock. We find that positive and negative shocks including large recessionary shocks like the 2008/2009 crisis have permanent effects on output.
•We test whether large recessionary shocks have a permanent effect on US GDP.•We use a quantile autoregression based unit root test.•The test allows for differences in the persistence of positive and negative shocks.•We find that all shocks including large recessionary shocks have permanent effects on the level of GDP. |
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ISSN: | 0165-1765 1873-7374 |
DOI: | 10.1016/j.econlet.2013.10.012 |