On the Continuation of the Great Moderation:New evidence from G7 Countries
AbstractThis paper employs a Markov regime-switching approach to investigate whether the Great Moderation is over since the start of the late 2000s recession. The results con rm that the recent nancial crisis did cause a simultaneous high-volatility period among the G7 countries. However, the nancial crisis may not mark the end of the Great Moderation. There is strong evidence that each G7 country has again returned to the low-variance state since 2009 or the beginning of 2010.
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Bibliographic InfoPaper provided by Sonderforschungsbereich 649, Humboldt University, Berlin, Germany in its series SFB 649 Discussion Papers with number SFB649DP2011-060.
Length: 24 pages
Date of creation: Sep 2011
Date of revision:
Output Fluctuations; Financial crisis; Regime switching;
Find related papers by JEL classification:
- E20 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - General (includes Measurement and Data)
- F01 - International Economics - - General - - - Global Outlook
- G01 - Financial Economics - - General - - - Financial Crises
- N10 - Economic History - - Macroeconomics and Monetary Economics; Industrial Structure; Growth; Fluctuations - - - General, International, or Comparative
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-10-09 (All new papers)
- NEP-EEC-2011-10-09 (European Economics)
- NEP-MAC-2011-10-09 (Macroeconomics)
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