Abstract
Conventional macroeconomic theory treats output fluctuations as merely transitory deviations around a deterministic pattern, the natural output trend. From such a perspective, output fluctuations can only be short-lived, thus giving economic shocks no lasting impact on long-term output. A rescaled range (R/S) approach is used in the context of cyclical fluctuations to explore these fluctuations. The analysis extends to other key macroeconomic variables to test for biased random walk in their behavior. From the examination of U.S. monthly postwar data, long memory is found in the money supply, aggregate output, income, and inflation fluctuations. However, no long memory is detected in unemployment behavior variations.
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