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


  • Terence C. Mills
  • Ping Wang


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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  • Terence C. Mills & Ping Wang, 2003. "Have output growth rates stabilised? evidence from the g-7 economies," Scottish Journal of Political Economy, Scottish Economic Society, vol. 50(3), pages 232-246, August.
  • Handle: RePEc:bla:scotjp:v:50:y:2003:i:3:p:232-246

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    4. 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.
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    7. 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.
    8. WenShwo Fang & Stephen M. Miller, 2014. "Output Growth and its Volatility: The Gold Standard through the Great Moderation," Southern Economic Journal, Southern Economic Association, vol. 80(3), pages 728-751, January.
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    11. Kocenda, Evzen, 2005. "Beware of breaks in exchange rates: Evidence from European transition countries," Economic Systems, Elsevier, vol. 29(3), pages 307-324, September.
    12. Amélie Charles & Olivier Darné & Laurent Ferrara, 2014. "Does the Great Recession imply the end of the Great Moderation? International evidence," EconomiX Working Papers 2014-21, University of Paris Nanterre, EconomiX.
    13. Christian Aßmann & Jens Hogrefe & Roman Liesenfeld, 2009. "The decline in German output volatility: a Bayesian analysis," Empirical Economics, Springer, vol. 37(3), pages 653-679, December.
    14. Chauvet, Marcelle & Potter, Simon, 2013. "Forecasting Output," Handbook of Economic Forecasting, Elsevier.
    15. Anthony Garratt & Gary Koop & ShaunP. Vahey, 2008. "Forecasting Substantial Data Revisions in the Presence of Model Uncertainty," Economic Journal, Royal Economic Society, vol. 118(530), pages 1128-1144, July.
    16. 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.
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    18. Angang Hu & Jie Lu & Zhengyan Xiao, 2011. "Has China's Economy Become More Stable and Inertial? Nonlinear Investigations Based on Structural Break and Duration Dependent Regime Switching Models," Annals of Economics and Finance, Society for AEF, vol. 12(1), pages 157-181, May.
    19. Mitra, Sinchan & Sinclair, Tara M., 2012. "Output Fluctuations In The G-7: An Unobserved Components Approach," Macroeconomic Dynamics, Cambridge University Press, vol. 16(03), pages 396-422, June.
    20. de Boyrie Maria E, 2010. "Structural Changes, Causality, and Foreign Direct Investments: Evidence from the Asian Crises of 1997," Global Economy Journal, De Gruyter, vol. 9(4), pages 1-40, January.
    21. Jie Lu & Angang Hu & Yilong Yan, 2012. "Nonlinear investigations of China's agricultural transformation based on the structural break regime switching model," China Agricultural Economic Review, Emerald Group Publishing, vol. 4(1), pages 52-68, January.

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