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

Volatility Cycles of Output and Inflation: A Good Shock, Bad Shock Story

Contents:

Author Info

  • Michal Kejak

    (Hungarian National Bank)

  • Max Gillman

    (Cardiff Business School)

  • Szilard Benk

    (CERGE-EI)

Abstract

We explain the close correlation of volatilities of GDP growth and inflation over the 1919-2004 period, using credit and money shocks that have "bad" and "good" effects that are defined in terms of their effects on the spectral variation in GDP. With these shocks, plus standard TFP productivity shocks, we identify, characterize and contrast the two great volatility cycles over the historical period, within an endogenous growth monetary business cycle with micro-based banking production. The Great Moderation post-1983 coincided with good credit shocks from deregulation, which allowed money velocity to diverge from GDP and inflation volatilities, while the Great Depression was faced with bad money and credit shocks that tied together velocity volatility with GDP and inflation volatility.

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.economicdynamics.org/meetpapers/2008/paper_415.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Society for Economic Dynamics in its series 2008 Meeting Papers with number 415.

as in new window
Length:
Date of creation: 2008
Date of revision:
Handle: RePEc:red:sed008:415

Contact details of provider:
Postal: Society for Economic Dynamics Christian Zimmermann Economic Research Federal Reserve Bank of St. Louis PO Box 442 St. Louis MO 63166-0442 USA
Fax: 1-314-444-8731
Email:
Web page: http://www.EconomicDynamics.org/society.htm
More information through EDIRC

Related research

Keywords:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Scheffel, Eric, 2008. "A Credit-Banking Explanation of the Equity Premium, Term Premium, and Risk-Free Rate Puzzles," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section E2008/30, Cardiff University, Cardiff Business School, Economics Section.
  2. Scheffel, Eric, 2008. "Consumption Velocity in a Cash Costly-Credit Model," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section E2008/31, Cardiff University, Cardiff Business School, Economics Section.

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:red:sed008:415. 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: (Christian Zimmermann).

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.