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The Trend, the Cycle and the Output Gap: A Decomposition of Swedish GDP
Uppsala universitet, Humanistisk-samhällsvetenskapliga vetenskapsområdet, Samhällsvetenskapliga fakulteten, Nationalekonomiska institutionen.
2017 (engelsk)Independent thesis Advanced level (degree of Master (Two Years)), 20 poäng / 30 hpOppgave
Abstract [en]

The first aim of this thesis is to decompose real GDP for Swedeninto a trend and a cyclical component. By identifying a state spacerepresentation and using a Kalman filter I find the latent stochastic trendand the stationary cycle. The relationship between the two componentsis studied to find whether it is the stochastic trend or the cycle thataccounts for most of the unexpected variation in real GDP. The secondaim is to compare the extracted cycle to two commonly used indicatorsof the output gap: capacity utilization and unemployment. I find thatthe cycle is quite closely related to both variables, indicating that thecycle reflects the output gap to a large extent.

sted, utgiver, år, opplag, sider
2017.
Emneord [en]
Kalman filter, Unobserved component model, Stochastic trend, Stationary cycle, Output gap
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Identifikatorer
URN: urn:nbn:se:uu:diva-326439OAI: oai:DiVA.org:uu-326439DiVA, id: diva2:1121187
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Tilgjengelig fra: 2017-08-18 Laget: 2017-07-10 Sist oppdatert: 2017-08-18bibliografisk kontrollert

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