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The two greatest. Great recession vs. great moderation

Author

Listed:
  • María Dolores Gadea-Rivas

    (University of Zaragoza)

  • Ana Gómez-Loscos

    (Banco de España)

  • Gabriel Pérez-Quirós

    (Banco de España and CEPR)

Abstract

Many have argued that the Great Recession of 2008 marked the end of the Great Moderation of the eighties and nineties. Through painstaking empirical analysis of the data, this paper shows this is not the case. Output volatility remains subdued despite the turmoil created by the Great Recession. This fi nding has important implications for policymaking since lower output volatility (the hallmark of the Great Moderation) is associated with weaker recoveries.

Suggested Citation

  • María Dolores Gadea-Rivas & Ana Gómez-Loscos & Gabriel Pérez-Quirós, 2014. "The two greatest. Great recession vs. great moderation," Working Papers 1423, Banco de España.
    • Handle: RePEc:bde:wpaper:1423
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    Cited by:

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    2. Jensen, Henrik & Ravn, Søren Hove & Santoro, Emiliano, 2016. "Deepening Contractions and Collateral Constraints," CEPR Discussion Papers 11166, C.E.P.R. Discussion Papers.
    3. Fabio C. Bagliano & Claudio Morana, 2017. "It ain’t over till it’s over: A global perspective on the Great Moderation-Great Recession interconnection," Applied Economics, Taylor & Francis Journals, vol. 49(49), pages 4946-4969, October.
    4. Alexander Yu. Apokin & Irina B. Ipatova, 2016. "Structural Breaks in Potential GDP Of Three Major Economies: Just Impaired Credit or the “New Normal”?," HSE Working papers WP BRP 142/EC/2016, National Research University Higher School of Economics.
    5. Alberto Fuertes, 2019. "Exchange rate regime and external adjustment: An empirical investigation for the US," The World Economy, Wiley Blackwell, vol. 42(5), pages 1373-1399, May.
    6. Gadea, María Dolores & Gomez-Loscos, Ana & Perez-Quiros, Gabriel, 2017. "Dissecting US recoveries," Economics Letters, Elsevier, vol. 154(C), pages 59-63.
    7. Magnus Reif, 2022. "Time‐Varying Dynamics of the German Business Cycle: A Comprehensive Investigation," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(1), pages 80-102, February.
    8. Bekaert, Geert & Engstrom, Eric & Ermolov, Andrey, 2021. "Macro risks and the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 141(2), pages 479-504.
    9. Markus Heinrich & Magnus Reif, 2018. "Forecasting using mixed-frequency VARs with time-varying parameters," ifo Working Paper Series 273, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
    10. Bel, Koen & Paap, Richard, 2016. "Modeling the impact of forecast-based regime switches on US inflation," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1306-1316.
    11. Rizwan Khalid & Choudhry Tanveer Shehzad & Bushra Naqvi, 2023. "Impact of capital account liberalization on stock market crashes," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 3700-3726, October.
    12. Juan Antolin-Diaz & Thomas Drechsel & Ivan Petrella, 2017. "Tracking the Slowdown in Long-Run GDP Growth," The Review of Economics and Statistics, MIT Press, vol. 99(2), pages 343-356, May.
    13. Alberto Fuertes, 2019. "External adjustment with a common currency: the case of the euro area," Working Papers 1936, Banco de España.
    14. Petrella, Ivan & Drechsel, Thomas & Antolin-Diaz, Juan, 2014. "Following the Trend: Tracking GDP when Long-Run Growth is Uncertain," CEPR Discussion Papers 10272, C.E.P.R. Discussion Papers.
    15. Jordà, Òscar & Schularick, Moritz & Taylor, Alan M., 2015. "Betting the house," Journal of International Economics, Elsevier, vol. 96(S1), pages 2-18.
    16. Alberto Fuertes, 2022. "External adjustment with a common currency: the case of the euro area," Empirical Economics, Springer, vol. 62(5), pages 2205-2238, May.
    17. Gioacchino Fazio & Francesca Giambona & Erasmo Vassallo & Elli Vassiliadis, 2018. "A Measure of Trust: The Italian Regional Divide in a Latent Class Approach," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 140(1), pages 209-242, November.
    18. María Dolores Gadea & Ana Gómez-Loscos & Antonio Montañés, 2016. "Oil Price and Economic Growth: A Long Story?," Econometrics, MDPI, vol. 4(4), pages 1-28, October.
    19. Michael Fritsch & Alina Sorgner & Michael Wyrwich & Evguenii Zazdravnykh, 2016. "Historical shocks and persistence of economic activity: evidence from a unique natural experiment," HSE Working papers WP BRP 143/EC/2016, National Research University Higher School of Economics.
    20. Magnus Reif, 2020. "Macroeconomics, Nonlinearities, and the Business Cycle," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 87.

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    More about this item

    Keywords

    business cycle; volatility; recoveries;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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