Large shocks in U.S. macroeconomic time series: 1860–1988

In this paper we examine the large shocks due to major economic or financial events that affected U.S. macroeconomic time series on the period 1860–1988, using outlier methodology. We show that these shocks can have temporary or permanent effects on the series and that most of them can be explained by the Great Depression, World War II and recessions as well as by monetary policy for the interest rate data. We also find that macroeconomic time series do not seem inconsistent with a stochastic trend once we adjusted the data of these shocks.