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| Author: | Clarida, R. H. Taylor, M. P. |
| Title: | Nonlinear permanent - temporary decompositions in macroeconomics and finance |
| Journal: | Economic Journal
2003 : MAR, VOL. 113:486, p. C125-C139 |
| Index terms: | Macroeconomics Nonlinear programming |
| Language: | eng |
| Abstract: | The authors suggest a method of decomposing univariate and multivariate nonlinear processes into their permanent and temporary components, extending the analysis of Beveridge and Nelson (1981) and Stock and Watson (1987). The authors propose applications in the univariate nonlinear case to recent work on nonlinearities in the USA business cycle, and in the multivariate nonlinear case to recent work on asymmetric nonlinear adjustment in the term structure of interst rates for the US. |
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