On the Continuation of the Great Moderation:New evidence from G7 Countries
This paper employs a Markov regime-switching approach to investigate whether the Great Moderation is over since the start of the late 2000s recession. The results con rm that the recent nancial crisis did cause a simultaneous high-volatility period among the G7 countries. However, the nancial crisis may not mark the end of the Great Moderation. There is strong evidence that each G7 country has again returned to the low-variance state since 2009 or the beginning of 2010.
|Date of creation:||Sep 2011|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://sfb649.wiwi.hu-berlin.de
More information through EDIRC
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.:
- Margaret M. McConnell & Gabriel Perez Quiros, 1998.
"Output fluctuations in the United States: what has changed since the early 1980s?,"
41, Federal Reserve Bank of New York.
- Margaret McConnell & Gabriel Perez Quiros, 2000. "Output fluctuations in the United States: what has changed since the early 1980s?," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
- Gabriel Perez-Quiros & Margaret M. McConnell, 2000. "Output Fluctuations in the United States: What Has Changed since the Early 1980's?," American Economic Review, American Economic Association, vol. 90(5), pages 1464-1476, December.
- Margaret M. McConnell & Gabriel Perez Quiros, 1997. "Output fluctuations in the United States: what has changed since the early 1980s?," Research Paper 9735, Federal Reserve Bank of New York.
- Smith Penelope & Summers Peter M, 2009.
"Regime Switches in GDP Growth and Volatility: Some International Evidence and Implications for Modeling Business Cycles,"
The B.E. Journal of Macroeconomics,
De Gruyter, vol. 9(1), pages 1-19, September.
- Penelope A. Smith & Peter M. Summers, 2002. "Regime Switches in GDP Growth and Volatility: Some International Evidence and Implications for Modelling Business Cycles," Melbourne Institute Working Paper Series wp2002n21, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
- Olivier Blanchard & John Simon, 2001. "The Long and Large Decline in U.S. Output Volatility," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 32(1), pages 135-174.
When requesting a correction, please mention this item's handle: RePEc:hum:wpaper:sfb649dp2011-060. 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: (RDC-Team)
If references are entirely missing, you can add them using this form.