Advanced Search
MyIDEAS: Login to save this paper or follow this series

The great moderation Icelandic style

Contents:

Author Info

  • Ásgeir Daníelsson
Registered author(s):

    Abstract

    Reduction in the volatility in macroeconomic time series has been documented for a number of countries. This paper documents similar reduction for the Icelandic economy. The paper estimates the timing of the breakpoint and/or a trend in the variance of the series. The paper finds that the reduction in the variance in changes in Gross National Income (GNI) is larger than the reduction in the variance in the changes in GDP, both because of a reduction in the volatility in terms of trade and because of a reduction in the correlation between changes in GDP and changes in terms of trade. The largest contribution to the decline in the volatility in GNI comes though from the reduction in the volatility in GDP. The paper finds that the volatility in GDP has declined more than the volatility of its components, except export where the decline is greater. The main reason for the decline in the volatility in export is a decline in the volatility in fishing and fish processing. The paper finds that there is a strong relationship between the volatility in export and the volatility in GDP.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. 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.sedlabanki.is/lisalib/getfile.aspx?itemid=5977
    Download Restriction: no

    Bibliographic Info

    Paper provided by Department of Economics, Central bank of Iceland in its series Economics with number wp38.

    as in new window
    Length:
    Date of creation: May 2008
    Date of revision:
    Handle: RePEc:ice:wpaper:wp38

    Contact details of provider:
    Postal: Kalkofnsvegi 1, 150 Reykjavik
    Phone: 569-9600
    Fax: 569-9605
    Email:
    Web page: http://www.sedlabanki.is/
    More information through EDIRC

    Related research

    Keywords:

    This paper has been announced in the following NEP Reports:

    References

    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.:
    as in new window
    1. Donald W.K. Andrews & Werner Ploberger, 1992. "Optimal Tests When a Nuisance Parameter Is Present Only Under the Alternative," Cowles Foundation Discussion Papers 1015, Cowles Foundation for Research in Economics, Yale University.
    2. D'Agostino, Antonello & Domenico, Giannone & Surico, Paolo, 2006. "(Un)Predictability and Macroeconomic Stability," Research Technical Papers 5/RT/06, Central Bank of Ireland.
    3. James H. Stock & Mark W. Watson, 2002. "Has the Business Cycle Changed and Why?," NBER Working Papers 9127, National Bureau of Economic Research, Inc.
    4. Antonello D'Agostino & Karl Whelan, 2008. "Federal Reserve Information During the Great Moderation," Journal of the European Economic Association, MIT Press, vol. 6(2-3), pages 609-620, 04-05.
    5. 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.
    6. Domenico Giannone & Michèle Lenza & Lucrezia Reichlin, . "Explaining the great moderation: it is not the shocks," ULB Institutional Repository 2013/6413, ULB -- Universite Libre de Bruxelles.
    Full references (including those not matched with items on IDEAS)

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:ice:wpaper:wp38. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Central Bank of Iceland).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.