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

Listed author(s):
  • Margaret M. McConnell
  • Gabriel Perez-Quiros

We document a structural decline in the volatility of real U.S. GDP growth in the first quarter of 1984. As a means of understanding the dramatic volatility reduction, we decompose output growth by major product type and provide evidence that the break emanates from a reduction in the volatility of durable goods production. We further show that the break in durables is roughly coincident with a break in the proportion of durables accounted for by inventories. We note that the break in output volatility affects the implementation of a wide range of simulation and econometric techniques and offer one important illustration of this in the context of a regime-switching model of output growth.

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File URL: http://www.frbsf.org/economics/conferences/000303/papers/output.pdf
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Article provided by Federal Reserve Bank of San Francisco in its journal Proceedings.

Volume (Year): (2000)
Issue (Month): Mar ()
Pages:

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Handle: RePEc:fip:fedfpr:y:2000:i:mar:x:1
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  12. Matthew D. Shapiro, 1988. "The Stabilization of the U.S. Economy: Evidence from the Stock Market," Cowles Foundation Discussion Papers 876, Cowles Foundation for Research in Economics, Yale University.
  13. Hess, Gregory D & Iwata, Shigeru, 1997. "Measuring and Comparing Business-Cycle Features," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(4), pages 432-444, October.
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  20. Chang-Jin Kim & Christian J. Murray, 2002. "Permanent and transitory components of recessions," Empirical Economics, Springer, vol. 27(2), pages 163-183.
  21. Hamilton, James D & Perez-Quiros, Gabriel, 1996. "What Do the Leading Indicators Lead?," The Journal of Business, University of Chicago Press, vol. 69(1), pages 27-49, January.
  22. Hansen, B.E., 1991. "The Likelihood Test Under Non-Standard Conditions: Testing the Markov Trend Model of GNP," RCER Working Papers 279, University of Rochester - Center for Economic Research (RCER).
  23. Bruce E. Hansen, 1995. "Approximate Asymptotic P-Values for Structural Change Tests," Boston College Working Papers in Economics 297., Boston College Department of Economics.
  24. Hansen, Bruce E., 2000. "Testing for structural change in conditional models," Journal of Econometrics, Elsevier, vol. 97(1), pages 93-115, July.
  25. 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.
  26. Boldin, Michael D, 1994. "Dating Turning Points in the Business Cycle," The Journal of Business, University of Chicago Press, vol. 67(1), pages 97-131, January.
  27. Whitney K. Newey & Kenneth D. West, 1986. "A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix," NBER Technical Working Papers 0055, National Bureau of Economic Research, Inc.
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  29. 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.
  30. 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.
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