Output Fluctuations in the United States: What Has Changed Since the Early 1980's?

McConnell, Margaret M.; Pérez‐Quirós, Gabriel

doi:10.1257/aer.90.5.1464

Cited by 1,505 publications

(608 citation statements)

References 14 publications

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“…The reason for the 1984 break date is that 1984 (more generally, the mid1980s) has been identified as an important break date associated with the so-called Great Moderation of output (Kim and Nelson, 1999;McConnell and Perez-Quiros, 2000), and there have been shifts in other properties of timeseries such as the inflation-output relation that can be dated to the mid-to late-1980s (cf. Stock and Watson, 2007).…”

Section: Resultsmentioning

confidence: 99%

Forecasting in Dynamic Factor Models Subject to Structural Instability*

Stock¹,

Watson²

2009

The Methodology and Practice of Econometrics

147

138

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Section: Resultsmentioning

confidence: 99%

Forecasting in Dynamic Factor Models Subject to Structural Instability*

Stock¹,

Watson²

2009

The Methodology and Practice of Econometrics

147

138

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“…Cechetti and Krause (2006) find that in sixteen out of twenty-five countries they examined, real GDP growth was on average more than fifty per cent less volatile than it was twenty years earlier to their study. 3 Authors have variously located the causes in better inventory management (McConnell and Perez-Quiros, 2000;Kahn et al, 2002;McCarthy and Zakajsek, 2007), fundamental labour market changes as the Baby Boomer generation is aging (Jaimovic and Siu, 2009), oil shocks (Nakov and Pescatori, 2010), changes in responses to shocks (Gambetti et al, 2008) or broader factors such as development levels (Acemoglu and Zilibotti, 1997;Easterley et al, 1993), external balances (Fogli and Perri, 2006), the size of the economy (Canning et al, 1998) and lack of strong institutions (Acemoglou et al, 2003). Owyang et al (2007) find that within U.S. states, the volatility decline was linked to larger nondurable-goods shares, energy consumption, and demographics.…”

Section: Introductionmentioning

confidence: 99%

The role of credit in the Great Moderation: A multivariate GARCH approach

Grydaki¹,

Bezemer²

2013

Journal of Banking & Finance

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During the Great Moderation, financial innovation in the U.S. increased the size and scope of credit flows supporting the growth of wealth. We hypothesize that spending out of wealth came to finance a wider range of GDP components such that it smoothed GDP. Both these trends combined would be consistent with a decrease in the volatility of output. We suggest testable implications in terms of both growth of credit and output and volatility of growth. In a multivariate GARCH framework, we test this view for home mortgages and residential investment. We observe unidirectional causality in variance from total output, residential investment and non-residential output to mortgage lending before, but not during the Great Moderation. These findings are consistent with a role for credit dynamics in explaining the Great Moderation.

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“…Moreover, many recent studies in macroeconomics have found growing stability in the U.S. economy. For example, Kim and Nelson (1999) and McConnell and Perez-Quiros (2000) find that there was reduction in the volatility of output since 1984.…”

Section: Introductionmentioning

confidence: 99%

Modeling the Link between US Inflation and Output: The Importance of the Uncertainty Channel

Conrad

Karanasos

2010

SSRN Journal

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This paper employs an augmented version of the UECCC GARCH specification proposed in Conrad and Karanasos (2010) which allows for lagged in-mean effects, level effects as well as asymmetries in the conditional variances. In this unified framework we examine the twelve potential intertemporal relationships between inflation, growth and their respective uncertainties using US data. We find that high inflation is detrimental to output growth both directly and indirectly via the nominal uncertainty. Output growth boosts inflation but mainly indirectly through a reduction in real uncertainty. Our findings highlight that macroeconomic performance affects nominal and real uncertainty in many ways and that the bidirectional relation between inflation and growth works to a large extend indirectly via the uncertainty channel.Keywords: Bivariate GARCH process, volatility feedback, inflation uncertainty, output variability.JEL Classification: C32, C51, E31. * We would like to thank James Davidson, Marika Karanassou and Ruey Tsay for their valuable suggestions. We have also benefited from the comments received from the participants of the Annual Meeting of the Verein für Socialpolitik (Kiel, 2010), the Annual Meeting of the Society for Nonlinear Dynamics and Econometrics (Novara, 2010)

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Output Fluctuations in the United States: What Has Changed Since the Early 1980's?

Cited by 1,505 publications

References 14 publications

Forecasting in Dynamic Factor Models Subject to Structural Instability*

Forecasting in Dynamic Factor Models Subject to Structural Instability*

The role of credit in the Great Moderation: A multivariate GARCH approach

Modeling the Link between US Inflation and Output: The Importance of the Uncertainty Channel

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