GDP Time Series Research Articles

Dating the Business Cycle in South Africa by Using a Markov-Switching Model

This paper applies a Markov-switching dynamic regression model to the real quarterly GDP time series from 1981 to 2010 in order to detect turning points in the South African business cycle. The model comprises several explicative variables. These include short- and long- term interest rates, monetary aggregates as well as the difference between long- and short-term interest rates. For all these variables, the possibility of dynamic lags was also considered. A chronology for the South African classical and growth cycles, using a quarterly algorithm is established. Application of this non-parametric procedure yields six complete cycles over the period 1960-2011.

A study of potential output and output gap in the Czech Republic

Analysis of economic cycle is of enormous importance for monitoring economic output and explaining price and wage inflation. It provides essential information for shaping economic and monetary policy of central authorities. Several methods are currently available to estimate potential output and output gap. In the current study, methods of Hodrick-Prescott filter and Cobb-Douglas production function were implemented to estimate potential output, which cannot be empirically observed. For the purpose of comparing the above methods, quarterly and annual time series of real GDP, labour and gross fixed capital starting in 1996 were used for estimation of the output gap. Relative contributions of labour, fixed capital formation and technology improvement factor towards growth of potential output were quantified for the studied series. The Cobb-Douglas production function appears to be superior to Hodrick-Prescott filter in providing quality estimates of potential output. Hodrick-Prescott filter allows estimation of potential output; nevertheless, it fails to identify components of cyclic behaviour of economic activity. Cobb-Douglas production function describes level of potential product assuming average utilization of production factors. A detailed analysis of components of economic growth in the observed period is provided.

Assess the impact of components of the Commodity Structure of Foreign Trade in The economic growth of Turkey for the period (1990 - 2009)

Showed many of the economic studies that the variables structure of foreign trade (exports and imports) with the impact of the gross domestic product and move the economic growth of a State، and private trade in industrial goods because they contribute to value-added production, and its importance to developed and developing countries, and take advantage of the economic development process, aimed at search to identify the components of Commodity Structure of Foreign Trade of Turkey and to clarify their impact on the GDP time series is twenty years old. In order to achieve the goal, was based on the assumption that the components of the structure of commodity exports and imports of Turkey to influence evident in the GDP, and the efforts made by Turkey to join the European Union led to a change in the directions of Turkish foreign trade, in order to reach the goal of the research and prove his hypothesis, The study was conducted using a quantitative methodology, by identifying the features of the evolution of the Turkish economy, and classification of Commodity Structure of Foreign Trade and its relationship to economic growth, were also analyzed trends in the evolution of Turkish foreign trade for the period (1990-2009) and the development trends of components of the structure of commodity exports and imports of Turkey, as well as trends geographical distribution of foreign trade of Turkey during the study period. The study found that intermediate and consumer goods the most important paragraphs in the Commodity Structure of Turkish exports during the period of study, as well as capital goods and other commodities, while the intermediate and capital goods the most important paragraphs in the Commodity Structure of imports, as well as consumer goods and other goods. Key words: commodity structure, exports and imports, gross domestic product, capital goods, intermediate goods, consumer goods.

Post-Crisis Potential Output in the Western Balkans

Abstract Spurred by the recent global economic crisis, there has been a resurgence of research on output gaps. As the crisis caused a decline in potential GDP due to a strong contraction in demand, it is expected that the recovery of potential output will be especially difficult in demand-driven small open economies, such as the Western Balkan countries, where recovery will strongly depend on global international trade recovery. The purpose of this research is to calculate and compare pre and post-crisis potential GDPs and GDP gaps for the Western Balkan countries. The symmetric filter method developed by Hodrick and Prescott is used to de-trend GDP time series data by decomposing it into growth and cyclical components. The results point to a strong decrease in potential output growth compared to the pre-crisis potential output growth of the Western Balkans.

Relaciones entre los flujos de efectivo de las empresas de Caldas y el crecimiento económico regional para el sector servicios durante el período de 2002 a 2010

El objetivo se explica en la relación entre los flujos de efectivo de las empresas de Caldas sector de servicios que reportaron estados financieros a la Superintendencia de Sociedades durante el período 2002 - 2010 y el comportamiento del entorno económico regional durante el mismo período de tiempo.Para su desarrollo metodológico se obtuvieron los flujos de efectivo de operación, financiación e inversión de las empresas del sector, luego se extrajeron las series de tiempo de las variables macroeconómicas PIB y desempleo de Caldas, tasas de interés, DTF e IGBC de Colombia, se desarrolló un análisis histórico del comportamiento del sector y de las variables macroeconómicas de manera independiente. Finalmente, se elaboró una clasificación de los flujos de efectivo y las variables macroeconómicas para realizar y analizar la correlación, igualmente, el análisis de la rentabilidad del activo y de las utilidades de las empresas objeto del presente estudio.Los resultados obtenidos permitieron inferir que no existe una correlación entre los flujos de efectivo operativos, de inversión y financiación, con cada una de las variables macroeconómicas antes mencionadas, además, se puede concluir que el aporte de las empresas del sector al PIB regional no es representativo para el desarrollo y crecimiento del mismo.

Economic Trends and Cycles in Crime: A Study for England and Wales

Summary This paper models cyclical behaviour in property crime series (burglary and theft) in relation to the macroeconomic activity indicators in England and Wales in the period from 1955 to 2001. Using unobserved components (UC) time series models, univariate time series analysis suggests that recorded burglary (theft) data is subject to stochastic cycle processes with typical business cycle frequencies of approximately 5 and 10 years. In the multivariate UC time series framework, recorded burglary (theft) is simultaneously modelled in a trivariate model, together with unemployment and real GDP time series. We also estimate a five-variate model, where we simultaneously model burglary, theft, unemployment, real GDP, and police variables. Some interesting findings in these analyses are: (i) observed cyclical behaviour in recorded property crime is almost fully determined by the economic business cycles; (ii) explanatory variables such as sentence length, imprisonment and conviction rates affect the short-term dynamics more than the long-term dynamics; (iii) motivational and opportunity effects between macroeconomic and crime time series can be distinguished in our modelling framework.

Empirical Research on Forest Carbon Sequestration Environmental Kuznets Curve

The authors selected GDP and forest carbon storage time series of forest industrial state-owned region in Heilongjiang Province and established carbon sequestration EKC model based on unit root test and co-integration theory. Through regression analysis, the paper reveals the inverted N-shaped curve characteristic between the two variables, and made a conclusion that forest industrial state-owned region in Heilongjiang Province is in a critical condition of the coordination between forest resource preservation and economic growth.

Forecasting real‐time data allowing for data revisions

AbstractA modeling approach to real‐time forecasting that allows for data revisions is shown. In this approach, an observed time series is decomposed into stochastic trend, data revision, and observation noise in real time. It is assumed that the stochastic trend is defined such that its first difference is specified as an AR model, and that the data revision, obtained only for the latest part of the time series, is also specified as an AR model. The proposed method is applicable to the data set with one vintage. Empirical applications to real‐time forecasting of quarterly time series of US real GDP and its eight components are shown to illustrate the usefulness of the proposed approach. Copyright © 2007 John Wiley & Sons, Ltd.

Unit Root Investigation of Greek Real Money Supply and GDP

In this article, the time series of Greek real GDP and real money supply are investigated for the presence of a unit root, allowing for maximum two breaks which take place at an unknown point in time. This methodology is preferred to conventional Dickey & Fuller tests because the covered time horizon, namely from 1858 to 1938, is characterized by a number of very important events, the nature of which is either economic or historical. In addition, time series stationarity is checked through a Kwiatkowski, Phillips, Schmidt, and Shin (KPSS) test.

Model nepozorovaných komponent a jeho využití při identifikaci společných trendů časových řad

The co-integration of time series indicates the presence of their common trends. For analytical purpose it is important to transform some time series into gap form. This transformation can be received as a difference between the time series and the common trends. The model of demand for money in Czech Republic created by real M2, real GDP and 1R PRIBOR time series contains two common trends. These trends are estimated from the state space form of unobservable components model. The gap transformations of real M2 and real GDP series can be used for identification of inflation risks. The relatively high correlation was found between gap form of M2 and rate of inflation. The relationship between gap form of GDP and rate of inflation is not so close.

Requiem for the unit root in per capita real GDP? Additional evidence from historical data

We present new evidence on the uncertain nature of nonstationarity – that is, trend stationarity vs. difference stationarity – of aggregate per capita real output, by submitting to a composite testing procedure a 20-country sample over an historically relevant time span. We find that the degree of uncertainty associated with the presence of a unit root appears to be well exceeding that shown by other studies conducted so far on cross-country historical data. For almost all the countries in our sample, inference appears to be strongly dependent on the type of test one makes use of, so that conclusions reached at early stages of a composite confirmatory testing procedure have to be frequently discarded at subsequent stages. Our reading of these findings points towards rejecting the assumption of temporal homogeneity of per capita GDP time series over long time spans, a prerequisite implicitly assumed in all studies looking for invariant statistical properties like stochastic or deterministic nonstationarity.

Exploitation, exploration and innovation in a model of endogenous growth with locally interacting agents

The paper presents a model of endogenous growth in which firms are modeled as boundedly-rational, locally interacting, agents. Firms produce a homogeneous good employing technologies located in an open-ended technological space and are allowed to either imitate existing similar practices or to locally explore the technological space to find new, more productive, techniques. We first identify sufficient conditions for the emergence of empirically plausible GDP time-series characterized by self-sustained growth. Then, we study the trade-off between individual rationality and collective outcomes by providing an example in which more rational agents systematically perform worse than less rational ones.

The economic growth of Central and Eastern Europe in comparative perspective, 1870-1989

Recurring changes in the institutional and ideological structures of Central and Eastern Europe have made it difficult to quantify and interpret its long-term economic development. This article provides the foundations for a unified picture of economic growth in the region since 1870. We construct a consistent time series of GDP per capita for the present day states of Central and Eastern Europe over the period 1870–1989, and then draw on the literature of the ‘new’ growth theory in economics to assess their long-term economic performance in the wider European setting.

New Goods and the Measurement of Real Economic Growth

Measured economic growth has slowed in advanced economies since the mid 1970s. A number of explanations have been advanced, one being that the slowdown is an artifact of the statistical system. In particular, one suspected source of error is the way the statistical system deals with the new kinds of 'information' products that are central to the current wave of technical change. These goods are often produced with dramatic and historically unprecedented increasing returns to scale.' Hence, their introduction is followed by a considerable period of falling prices, much of which may be going unmeasured given the usual lags before new products enter the commodity baskets on which price deflators are based. In addition, there is a general sense that the pace of technical change has been accelerating. The conjecture is that the benefits of this very novelty and the increased range of choice are going unmeasured, and that these factors are becoming more important over time (Diewert and Fox 1997). A number of analyses have sought to quantify the extent to which new goods are a source of bias in price measurement, and also, therefore, in the measurement of 'real' (i.e. deflated) economic growth (e.g. Diewert 1996; Grilliches 1996; U.S. Senate (Boskin et al.) Advisory Commission 1996; Crawford 1993). The consensus is that there is an upward bias on the order of half a percent per annum. However, the Boskin commission considered only the 'product cycle' biases arising from unmeasured price declines that occur after a commodity first appears on the market. Their estimates do not include any measure of the novelty of new goods as such, nor the effects due to differential impacts by income group. To aid our thinking, we have constructed a simplified model of an economy, and then used this to explore the effects of introducing new goods on various measures of real economic growth.2 Our model -XEcon, for experimental economy -includes both utility-loving individuals and profit-motivated firms. XEcon also includes a statistician, who computes several variants of the time series of real GDP, based on alternative empirical price deflators. Finally, XEcon has an omniscient creator, who can measure social welfare and compute 'true' standard of living indices.

INTERNATIONAL COMPARISONS OF AUSTRALIAN GDP IN THE 19TH CENTURY

This paper summarises the results of a new comparison of the level of Australian and U.K. real product in the 1890s, obtained by the direct deflation of money values of GDP by relative prices. The object of the study was to provide a check on the existing comparisons, obtained by extrapolation of time series of real GDP, as shown, for example, in Maddison (1982). Existing estimates imply that in the 1890s Australian GDP per capita was about 50 percent higher in the U.K. and U.S.A. and more than twice that for the average of 12 other western countries. The present study suggests these results probably overstate Australia's real GDP, and that Australian real GDP per capita was 36 percent higher than the U.K. in 1891 and 3 percent higher in 1900. Personal consumption per capita was 15 percent higher in Australia than in the U.K. in 1891, but about the same level in 1900.Although this study compares prices and GDP in the colony of New South Wales with those in the U.K., the colony may be taken as representative of Australia as a whole.1

Aid, the Public Sector and the Market in Less Developed Countries

The article in this JOURNAL by Mosley et al. (I987) concludes its analysis of aid effectiveness as demonstrating '... inability of development aid over more than twenty years to provide a net increment to overall growth in the Third World' (p. 636). This note purports to show that this conclusion, which is ostensibly 'distressing' as the authors claim, is not warranted. The section of the study which is the basis of the conclusion cited and the subject of this note is a cross-section regression analysis, full details of which are shown in Mosley et al. Table 3. The note is concerned with the relation between the dependent variable specified as the growth rate of real GDP per cent per annum (hereafter GDP) and aid specified as a percentage of GDP (hereafter Aid).' The Aid results, with only two significant positive coefficients in one subsample, certainly give no basis for claiming aid-effectiveness in terms of GDP growth. The intention in this note is to interpret the results which are assumed to be valid. This is made possible by the fact that the authors have helpfully provided the full input set of mean values derived from the raw data. From this it is possible to calculate the GDP/Aid relationship for each country for the second and third period. The procedure for deriving these relationships is as follows. For each country the mean values of the time series of GDP and Aid are extracted from the data for I 960-70 and for I 970-80. Using I 960-70 as the base, the signs of the change in the levels of the GDP and Aid mean values between periods are recorded. This is repeated for I980-4 with I970-80 mean values as the base. The relationship between the two signs is an indication of the effect of Aid on GDP in the period in which the change in levels is effected. Thus in the case of an increase in Aid being combined with a decrease in GDP the latter must have fallen relatively to the former and aid-effectiveness is negative; Mutatis mutandis, for the other three sign combinations, thus generating the appropriate GDP/Aid relationship for each country in each period. A frequency distribution of the four sign-combinations, relating to the full sample, is presented in Table I. Since the signs of the changes in the levels of GDP and Aid are derived by making explicit the arithmetic relationship implicit in the data they form a valid base from which to draw conclusions without requiring any test of