The DOI matches its Crossref record; 37 of the 37 references it cites were found in a registry or an index.
Has the Business Cycle Changed and Why?
Open accessAbstract
From 1960From -1983, the standard deviation of annual growth rates in real GDP in the United States was 2.7%.From 1984-2001, the corresponding standard deviation was 1.6%.This paper investigates this large drop in the cyclical volatility OF real economic.activity.The paper has two objectives.The first is to provide a comprehensive characterization of the decline in volatility using a large number of U.S. economic time series and a variety of methods designed to describe time-varying time series processes.In so doing, the paper reviews the literature on the moderation and attempts to resolve some of its disagreements and discrepancies.The second objective is to provide new evidence on the quantitative importance of various explanations for this "great moderation".Taken together, we estimate that the moderation in volatility is attributable to a combination of improved policy (20-30%), identifiable good luck in the form of productivity and commodity price shocks (20-30%), and other unknown forms of good luck that manifest themselves as smaller reduced-form forecast errors (40-60%).
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Cites
Estimating and Testing Linear Models with Multiple Structural Changes
Bai, J., & Perron, P. (1998) · Econometrica · doi:10.2307/2998540 · Cited by 6,112
Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*
Clarida, R., Gali, J., & Gertler, M. (2000) · Quarterly Journal of Economics · doi:10.1162/003355300554692 · Cited by 4,625
Tests for parameter instability and structural change with unknown change point.
Andrews, D. W. K. (1993) · Econometrica · doi:10.2307/2951764 · Cited by 4,334
The Dynamic Effects of Aggregate Demand and Supply Disturbances
Blanchard, O. J., & Quah, D. (1988) · National Bureau of Economic Research · doi:10.3386/w2737 · Cited by 3,899
Inflation dynamics: A structural econometric analysis
Galı́, J., & Gertler, M. (1999) · Journal of Monetary Economics · doi:10.1016/s0304-3932(99)00023-9 · Cited by 3,087
Forecasting Using Principal Components From a Large Number of Predictors
Stock, J. H., & Watson, M. W. (2002) · Journal of the American Statistical Association · doi:10.1198/016214502388618960 · Cited by 2,985
Self-citationBlanchard, O., & Perotti, R. (2002) · The Quarterly Journal of Economics · doi:10.1162/003355302320935043 · Cited by 2,910
Macroeconomic Forecasting Using Diffusion Indexes
Stock, J. H., & Watson, M. W. (2002) · Journal of Business & Economic Statistics · doi:10.1198/073500102317351921 · Cited by 2,547
Self-citationAn Optimization-Based Econometric Framework for the Evaluation of Monetary Policy
Rotemberg, J. J., & Woodford, M. (1997) · NBER Macroeconomics Annual · doi:10.1086/654340 · Cited by 2,049
Drifts and volatilities: monetary policies and outcomes in the post WWII US
Cogley, T., & Sargent, T. J. (2005) · Review of Economic Dynamics · doi:10.1016/j.red.2004.10.009 · Cited by 1,933
Cited by
Bond risk, bond return volatility, and the term structure of interest rates
Viceira, L. M. (2012) · International Journal of Forecasting · doi:10.1016/j.ijforecast.2011.02.018 · Cited by 136
Metadata
- Authors
- Stock, J., & Watson, M.
- Venue
- National Bureau of Economic Research
- Publisher
- National Bureau of Economic Research
- Published
- 2002-08
- OpenAlex
- W1573437329
- Cited by
- 560
- References
- 37
- Type
- report
- Language
- en
- Open access
- green
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