This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

The Cyclical Dynamics and Volatility of Australian Output and Employment

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
DAVID SHEPHERD
ROBERT DIXON

Additional information is available for the following registered author(s):

Abstract

In this paper, we examine the volatility of aggregate output and employment in Australia with the aid of a frequency filtering method. This analysis is compared with more traditional methods based on the examination of first differences in the logs of the raw data. We show that the application of univariate AR and bivariate VECM methods to the data results in a detrended series which is dominated by noise and gives break points which are not robust to alternative decomposition methods. When we apply a frequency filtered procedure we find that the detrended series is dominated by cyclical rather than noise variation. We find evidence of a sustained reduction in the cyclical volatility of both the gross domestic product and employment series in 1993-1994, not in 1984. We also find that there is a clear association between output volatility and employment volatility. Copyright © 2008 The Economic Society of Australia.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.blackwell-synergy.com/servlet/useragent?func=synergy&synergyAction=showTOC&journalCode=ecor&volume=84&issue=264&year=2008&part=null
File Format: text/html
File Function: link to full text
Download Restriction: Access to full text is restricted to subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Publisher Info
Article provided by The Economic Society of Australia in its journal Economic Record.

Volume (Year): 84 (2008)
Issue (Month): 264 (03)
Pages: 34-49
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:bla:ecorec:v:84:y:2008:i:264:p:34-49

Contact details of provider:
Postal: Central Council Administration, L.P.O. Box 2161, Hawthorn VIC 3122
Phone: 61 3 9497 4140
Fax: 61 3 9497 4140
Email:
Web page: http://www.blackwellpublishing.com/journal.asp?ref=0013-0249
More information through EDIRC

Order Information:
Web: http://www.blackwellpublishing.com/subs.asp?ref=0013-0249

For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).

Related research
Keywords:

Other versions of this item:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Russell, Bill & Tease, Warren, 1991. "Employment, Output and Real Wages," The Economic Record, The Economic Society of Australia, vol. 67(196), pages 34-45, March.
    Other versions:
  2. Leybourne, Stephen J. & C. Mills, Terence & Newbold, Paul, 1998. "Spurious rejections by Dickey-Fuller tests in the presence of a break under the null," Journal of Econometrics, Elsevier, vol. 87(1), pages 191-203, August. [Downloadable!] (restricted)
  3. Robert Dixon & G.C. Lim, 2004. "Underlying Inflation in Australia: Are the Existing Measures Satisfactory?," The Economic Record, The Economic Society of Australia, vol. 80(251), pages 373-386, December. [Downloadable!] (restricted)
    Other versions:
  4. Christopher Kent & Kylie Smith & James Holloway, 2005. "Declining Output Volatility: What Role for Structural Change?," RBA Annual Conference Volume, in: Christopher Kent & David Norman (ed.), The Changing Nature of the Business Cycle Reserve Bank of Australia. [Downloadable!]
  5. Guy Debelle, 1999. "Inflation Targeting and Output Stabilisation," RBA Research Discussion Papers rdp1999-08, Reserve Bank of Australia. [Downloadable!]
  6. Robert J. Hodrick & Edward Prescott, 1981. "Post-War U.S. Business Cycles: An Empirical Investigation," Discussion Papers 451, Northwestern University, Center for Mathematical Studies in Economics and Management Science. [Downloadable!]
    Other versions:
  7. Robert Dixon & John Freebairn & G.C. Lim, 2005. "An Employment Equation for Australia," The Economic Record, The Economic Society of Australia, vol. 81(254), pages 204-214, 09. [Downloadable!] (restricted)
  8. A. J. Phipps & J. R. Sheen, 1995. "Macroeconomic Policy and Employment Growth in Australia," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 28(1), pages 86-104. [Downloadable!] (restricted)
  9. Martin, Philippe & Ann Rogers, Carol, 2000. "Long-term growth and short-term economic instability," European Economic Review, Elsevier, vol. 44(2), pages 359-381, February. [Downloadable!] (restricted)
    Other versions:
  10. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March. [Downloadable!] (restricted)
  11. Ball, Laurence, 1999. "Efficient Rules for Monetary Policy," International Finance, Blackwell Publishing, vol. 2(1), pages 63-83, April. [Downloadable!] (restricted)
    Other versions:
  12. Marianne Baxter & Robert G. King, 1999. "Measuring Business Cycles: Approximate Band-Pass Filters For Economic Time Series," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 575-593, November. [Downloadable!] (restricted)
    Other versions:
  13. GORDON de BROUWER & JAMES GILBERT, 2005. "Monetary Policy Reaction Functions in Australia," The Economic Record, The Economic Society of Australia, vol. 81(253), pages 124-134, 06. [Downloadable!] (restricted)
  14. Svensson, Lars E O, 1999. "Price-Level Targeting versus Inflation Targeting: A Free Lunch?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 31(3), pages 277-95, August.
    Other versions:
  15. Dungey, M. & Pitchford, J., 1998. "Prospects for Output and Employment Growth with Steady Inflation," CEPR Discussion Papers 387, Centre for Economic Policy Research, Research School of Social Sciences, Australian National University.
    Other versions:
  16. Karim Abadir & Gabriel Talmain, . "Aggregation, Persistence and Volatility in a Macromodel," Discussion Papers 01/03, Department of Economics, University of York.
    Other versions:
  17. Svensson, Lars E. O., 1997. "Inflation forecast targeting: Implementing and monitoring inflation targets," European Economic Review, Elsevier, vol. 41(6), pages 1111-1146, June. [Downloadable!] (restricted)
    Other versions:
  18. Nicholas Di Venuto & Allan Layton, 2005. "Do The Phases Of The Business Cycle Die Of Old Age?," Australian Economic Papers, Blackwell Publishing, vol. 44(3), pages 290-305, 09. [Downloadable!] (restricted)
  19. Perron, Pierre, 1997. "Further evidence on breaking trend functions in macroeconomic variables," Journal of Econometrics, Elsevier, vol. 80(2), pages 355-385, October. [Downloadable!] (restricted)
    Other versions:
  20. Stephen G Cecchetti & Alfonso Flores-Lagunes & Stefan Krause, 2005. "Assessing the Sources of Changes in the Volatility of Real Growth," RBA Annual Conference Volume, in: Christopher Kent & David Norman (ed.), The Changing Nature of the Business Cycle Reserve Bank of Australia. [Downloadable!]
    Other versions:
  21. Martin, Philippe & Rogers, Carol Ann, 1997. "Stabilization Policy, Learning-by-Doing, and Economic Growth," Oxford Economic Papers, Oxford University Press, vol. 49(2), pages 152-66, April. [Downloadable!] (restricted)
    Other versions:
  22. Paul Cashin & Sam Ouliaris, 2004. "Key Features of Australian Business Cycles," Australian Economic Papers, Blackwell Publishing, vol. 43(1), pages 39-58, 03. [Downloadable!] (restricted)
    Other versions:
  23. Andrew C. Harvey & Thomas M. Trimbur, 2003. "General Model-Based Filters for Extracting Cycles and Trends in Economic Time Series," The Review of Economics and Statistics, MIT Press, vol. 85(2), pages 244-255, 03. [Downloadable!] (restricted)
    Other versions:
  24. Stephen G. Cecchetti & Junhan Kim, 2003. "Inflation Targeting, Price-Path Targeting and Output Variability," NBER Working Papers 9672, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  25. Garey Ramey & Valerie A. Ramey, 1991. "Technology Commitment and the Cost of Economic Fluctuations," NBER Working Papers 3755, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  26. Gomez, Victor, 2001. "The Use of Butterworth Filters for Trend and Cycle Estimation in Economic Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(3), pages 365-73, July.
  27. Cochrane, John H, 1988. "How Big Is the Random Walk in GNP?," Journal of Political Economy, University of Chicago Press, vol. 96(5), pages 893-920, October. [Downloadable!] (restricted)
  28. Christopher Kent & Kylie Smith & James Holloway, 2005. "Declining Output Volatility: What Role for Structural Change?," RBA Research Discussion Papers rdp2005-08, Reserve Bank of Australia. [Downloadable!]
  29. Guy Debelle & James Vickery, 1998. "The Macroeconomics of Australian Unemployment," RBA Annual Conference Volume, in: Guy Debelle & Jeff Borland (ed.), Unemployment and the Australian Labour Market Reserve Bank of Australia. [Downloadable!]
  30. Penelope A. Smith & Peter M. Summers, 2002. "Regime Switches in GDP Growth and Volatility: Some International Evidence and Implications for Modelling Business Cycles," Melbourne Institute Working Paper Series wp2002n21, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne. [Downloadable!]
  31. Lewis, Philip E T & MacDonald, Garry, 2002. "The Elasticity of Demand for Labour in Australia," The Economic Record, The Economic Society of Australia, vol. 78(240), pages 18-30, March. [Downloadable!] (restricted)
  32. Kenneth N Kuttner, 2004. "A Snapshot of Inflation Targeting in its Adolescence," RBA Annual Conference Volume, in: Christopher Kent & Simon Guttmann (ed.), The Future of Inflation Targeting Reserve Bank of Australia. [Downloadable!]
  33. Taylor, Andrew & Shepherd, David & Duncan, Stephen, 2005. "The structure of the Australian growth process: A Bayesian model selection view of Markov switching," Economic Modelling, Elsevier, vol. 22(4), pages 628-645, July. [Downloadable!] (restricted)
Full references

Statistics
Access and download statistics

Did you know? A tutorial is available.

This page was last updated on 2009-10-25.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.