Have output growth rates stabilised? evidence from the g-7 economies
AbstractIn this paper we consider an extension of Hamilton's Markov chain model of output growth that allows for a one-time structural break in the hyperparameters. We fit this model to post-war quarterly output growth data from the G-7 economies and find evidence for such a structural break in each of them, although the break occurs at different times. The break is always associated with a decline in volatility and often with a narrowing of the mean growth differential between the expansionary and recessionary regimes. The results show that stabilisation has typically been achieved at the expense of a reduction in growth rates. Copyright (c) Scottish Economic Society 2003.
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Bibliographic InfoArticle provided by Scottish Economic Society in its journal Scottish Journal of Political Economy.
Volume (Year): 50 (2003)
Issue (Month): 3 (08)
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0036-9292
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- WenShwo Fang & Stephen M. Miller, 2012.
"Output Growth and Its Volatility: The Gold Standard through the Great Moderation,"
2012-11, University of Connecticut, Department of Economics.
- WenShwo Fang & Stephen M. Miller, 2012. "Output Growth and Its Volatility: The Gold Standard through the Great Moderation," Working Papers 1205, University of Nevada, Las Vegas , Department of Economics.
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- Beatrice D. Simo-Kengne & Stephen M. Miller & Rangan Gupta, 2013.
"Evolution of Monetary Policy in the US: The Role of Asset Prices,"
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- Beatrice D. Simo-Kengne & Stephen M. Miller & Rangan Gupta, 2013. "Evolution of Monetary Policy in the US: The Role of Asset Prices," Working papers 2013-20, University of Connecticut, Department of Economics.
- Jorge Andraz & Nélia Norte, 2013. "Output volatility in the OECD: Are the member states becoming less vulnerable to exogenous shocks?," CEFAGE-UE Working Papers 2013_17, University of Evora, CEFAGE-UE (Portugal).
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