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Output fluctuations in the United States: what has changed since the early 1980s?

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Author Info
Margaret M. McConnell
Gabriel Perez Quiros

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Abstract

We document a structural break in the volatility of U.S. GDP growth in the first quarter of 1984, and provide evidence that this break emanates from a reduction in the volatility of durable goods production. We find no evidence of increased stability in the nondurables, services or structures sectors of the economy. In addition, no other G7 country experienced a contemporaneous reduction in output volatility. Finally, we show that the reduction in durables volatility corresponds to a decline in the share of durable goods accounted for by inventories

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Paper provided by Federal Reserve Bank of New York in its series Staff Reports with number 41.

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Date of creation: 1998
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Handle: RePEc:fip:fednsr:41

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Keywords: Gross domestic product ; Production (Economic theory);

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  2. Clarida, Richard & Galí, Jordi & Gertler, Mark, 1998. "Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory," CEPR Discussion Papers 1908, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  3. Chang-Jin Kim & Christian J. Murray, 2002. "Permanent and transitory components of recessions," Empirical Economics, Springer, vol. 27(2), pages 163-183. [Downloadable!] (restricted)
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  5. Durland, J Michael & McCurdy, Thomas H, 1994. "Duration-Dependent Transitions in a Markov Model of U.S. GNP Growth," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(3), pages 279-88, July.
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  6. Sichel, Daniel E, 1994. "Inventories and the Three Phases of the Business Cycle," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(3), pages 269-77, July.
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  9. Watson, Mark W, 1994. "Business-Cycle Durations and Postwar Stabilization of the U.S. Economy," American Economic Review, American Economic Association, vol. 84(1), pages 24-46, March. [Downloadable!] (restricted)
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  12. Chang-Jin Kim & Charles R. Nelson, 1999. "Has The U.S. Economy Become More Stable? A Bayesian Approach Based On A Markov-Switching Model Of The Business Cycle," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 608-616, November. [Downloadable!] (restricted)
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    • Ramey, Valerie A. & West, Kenneth D., 1999. "Inventories," Handbook of Macroeconomics, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 13, pages 863-923 Elsevier. [Downloadable!] (restricted)
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  18. Bruce E. Hansen, 1995. "Approximate Asymptotic P-Values for Structural Change Tests," Boston College Working Papers in Economics 297., Boston College Department of Economics. [Downloadable!]
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  19. Hess, Gregory D & Iwata, Shigeru, 1997. "Measuring and Comparing Business-Cycle Features," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(4), pages 432-44, October.
  20. Romer, Christina, 1986. "Spurious Volatility in Historical Unemployment Data," Journal of Political Economy, University of Chicago Press, vol. 94(1), pages 1-37, February. [Downloadable!] (restricted)
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  22. Filardo, Andrew J, 1994. "Business-Cycle Phases and Their Transitional Dynamics," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(3), pages 299-308, July.
  23. Andrew J. Filardo, 1997. "Cyclical implications of the declining manufacturing employment share," Economic Review, Federal Reserve Bank of Kansas City, issue Q II, pages 63-87. [Downloadable!]
  24. Arturo Estrella & Frederic S. Mishkin, 1996. "Predicting U.S. recessions: financial variables as leading indicators," Research Paper 9609, Federal Reserve Bank of New York. [Downloadable!]
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  25. Eric Ghysels, 1993. "A time series model with periodic stochastic regime switching," Discussion Paper / Institute for Empirical Macroeconomics 84, Federal Reserve Bank of Minneapolis. [Downloadable!]
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  26. Hansen, Bruce E., 1992. "Testing for parameter instability in linear models," Journal of Policy Modeling, Elsevier, vol. 14(4), pages 517-533, August. [Downloadable!] (restricted)
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  28. Matthew D. Shapiro, 1988. "The Stabilization of the U.S. Economy Evidence From the Stock Market," NBER Working Papers 2645, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  29. Andrews, Donald W K, 1993. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica, Econometric Society, vol. 61(4), pages 821-56, July. [Downloadable!] (restricted)
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