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Stylized Facts
Facts about the macroeconomy are drawn from national accounts and
other statistics.
Each entry in national accounts (GDP, consumption, GDP de ator) represents a time series:
2
3
y1
6 y2 7
6
7
7
fyt g = 6
6 y3 7
4 ::: 5
yT
+ t ;
y1 = 0 ;
y2 = 2 0 ;
yt = t 0
(1 )
=
(1 )
2
1 2
+ t
Variable
GDP
C
I
NX
Y/H
H
Standard Deviation
3.3%
3.6%
6.7%
2.2%
2.3%
1.6%
Correlation w/Output
1.00
0.67
0.63
-0.10
0.61
0.82
200000
160000
120000
80000
40000
1975
1980
1985
1990
1995
2000
GDP
Figure 1:
retains a lot of information about the position of the economy. Choose
T REN Dt
min
T
T
X
X
(yt T REN Dt )2 +
(T REN Dt+1 T REN Dt ) (T REN Dt T REN Dt
t=1
t=1
Stylized Facts: Growth Rate of Output in Hong Kong about 1.5% per
quarter or 6% per year.
Business Cycle Volatility
1)
.2
.1
.0
-.1
300000
-.2
250000
-.3
200000
150000
100000
50000
0
1975
1980
1985
1990
GDP
Log-Linear Trend
Cycle
Figure 2:
1995
2000
.08
.04
.00
250000
-.04
200000
-.08
150000
-.12
100000
50000
0
1975
1980
1985
1990
1995
GDP
Hodrick Prescott Trend
Cycle
Figure 3:
2000