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Answered: - Doing More Economics with the Computer Go to the Federal R


Doing More Economics with the Computer Go to the Federal Reserve Bank of St. Louis FRED database (at https://research.stlouisfed.org/fred2/) and download quarterly Canadian data (from 1961:Q1 to 2012:Q1) for GDP (series CANRGDPQDSNAQ), private ?nal consumption expenditure (series CANPFCEQDSNAQ), and the GDP implicit price de?ator (series CANGDPDEFQISMEI). Take the natural log of each of these variables and then detrend each variable using the HodrickPrescott (HP) ?lter to each variable with parameter ?= 1,600. In other words, for variable zt, where zt?is either GDP, consumption, or the price level, compute the trend of ln zt?using the HP ?lter. Call this trend ln zt*?. Then compute the cyclical component ln zt?-ln zt?*.

(a) Plot the cyclical components of GDP and consumption. Is consumption procyclical, countercyclical, or acyclical? Is consumption more variable than GDP? How do your estimates compare to those reported in Figure 8.9 on page 188 of Barro and Serletis (2010)?

(b) Plot the cyclical components of GDP and the price level. Is the price level procyclical, countercyclical, or acyclical? How do your estimates compare to those reported in Figure 10.4 on page 251 of Barro and Serletis (2010)?

Note: To apply the HP ?lter in Excel, you will need to download an Excel add-in.


Econ 359 (02) Assignment # 2

 


 

(A. Serletis)

 


 

Due date: March 25, 2016

 


 

1. Doing More Economics with the Computer

 

Go to the Federal Reserve Bank of St. Louis FRED database (at https://research.stlouisfed.org/fred2/)

 

and download quarterly Canadian data (from 1961:Q1 to 2012:Q1) for GDP (series CANRGDPQDSNAQ), private ?nal consumption expenditure (series CANPFCEQDSNAQ), and the GDP implicit

 

price de?

 

ator (series CANGDPDEFQISMEI).

 

Take the natural log of each of these variables and then detrend each variable using the HodrickPrescott (HP) ?lter to each variable with parameter = 1; 600. In other words, for variable zt , where

 

zt is either GDP, consumption, or the price level, compute the trend of ln zt using the HP ?lter. Call

 

this trend ln zt . Then compute the cyclical component ln zt ln zt .

 

(a) Plot the cyclical components of GDP and consumption. Is consumption procyclical, countercyclical, or acyclical? Is consumption more variable than GDP? How do your estimates compare to

 

those reported in Figure 8.9 on page 188 of Barro and Serletis (2010)?

 

(b) Plot the cyclical components of GDP and the price level. Is the price level procyclical, countercyclical, or acyclical? How do your estimates compare to those reported in Figure 10.4 on page

 

251 of Barro and Serletis (2010)?

 


 

Note: To apply the HP ?lter in Excel, you will need to download an Excel add-in.

 


 

1

 


 

 


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