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The Trend, the Cycle and the Output Gap: A Decomposition of Swedish GDP
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Economics.
2017 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
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.

Place, publisher, year, edition, pages
2017.
Keywords [en]
Kalman filter, Unobserved component model, Stochastic trend, Stationary cycle, Output gap
National Category
Economics
Identifiers
URN: urn:nbn:se:uu:diva-326439OAI: oai:DiVA.org:uu-326439DiVA, id: diva2:1121187
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Available from: 2017-08-18 Created: 2017-07-10 Last updated: 2017-08-18Bibliographically approved

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CiteExportLink to record
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  • apa
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