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Have output growth rates stabilised? evidence from the g-7 economies

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  • Terence C. Mills
  • Ping Wang
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    Abstract

    In 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 Info

    Article provided by Scottish Economic Society in its journal Scottish Journal of Political Economy.

    Volume (Year): 50 (2003)
    Issue (Month): 3 (08)
    Pages: 232-246

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    Handle: RePEc:bla:scotjp:v:50:y:2003:i:3:p:232-246

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    Cited by:
    1. Jorge M. Andraz & Nelia M. Norte, 2013. "Output volatility in the OECD: Are the member states becoming less vulnerable to exogenous shocks?," Economic Issues Journal Articles, Economic Issues, vol. 18(2), pages 91-122, September.
    2. 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.
    3. Beatrice D. Simo-Kengne & Stephen M. Miller & Rangan Gupta, 2013. "Evolution of Monetary Policy in the US: The Role of Asset Prices," Working Papers 201343, University of Pretoria, Department of Economics.
    4. Peter M. Summers, 2005. "What caused the Great Moderation? : some cross-country evidence," Economic Review, Federal Reserve Bank of Kansas City, issue Q III, pages 5-32.

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