IDEAS home Printed from https://ideas.repec.org/p/ice/wpaper/wp38.html
   My bibliography  Save this paper

The great moderation Icelandic style

Author

Listed:
  • Ásgeir Daníelsson

Abstract

Reduction in the volatility in macroeconomic time series has been documented for a number of countries. This paper documents similar reduction for the Icelandic economy. The paper estimates the timing of the breakpoint and/or a trend in the variance of the series. The paper finds that the reduction in the variance in changes in Gross National Income (GNI) is larger than the reduction in the variance in the changes in GDP, both because of a reduction in the volatility in terms of trade and because of a reduction in the correlation between changes in GDP and changes in terms of trade. The largest contribution to the decline in the volatility in GNI comes though from the reduction in the volatility in GDP. The paper finds that the volatility in GDP has declined more than the volatility of its components, except export where the decline is greater. The main reason for the decline in the volatility in export is a decline in the volatility in fishing and fish processing. The paper finds that there is a strong relationship between the volatility in export and the volatility in GDP.

Suggested Citation

  • Ásgeir Daníelsson, 2008. "The great moderation Icelandic style," Economics wp38, Department of Economics, Central bank of Iceland.
  • Handle: RePEc:ice:wpaper:wp38
    as

    Download full text from publisher

    File URL: http://www.sedlabanki.is/lisalib/getfile.aspx?itemid=5977
    Download Restriction: no

    References listed on IDEAS

    as
    1. Stephen G Cecchetti & Alfonso Flores-Lagunes & Stefan Krause, 2005. "Assessing the Sources of Changes in the Volatility of Real Growth," RBA Annual Conference Volume,in: Christopher Kent & David Norman (ed.), The Changing Nature of the Business Cycle Reserve Bank of Australia.
    2. Domenico Giannone & Michele Lenza & Lucrezia Reichlin, 2008. "Explaining The Great Moderation: It Is Not The Shocks," Journal of the European Economic Association, MIT Press, vol. 6(2-3), pages 621-633, 04-05.
    3. James H. Stock & Mark W. Watson, 2003. "Has the Business Cycle Changed and Why?," NBER Chapters,in: NBER Macroeconomics Annual 2002, Volume 17, pages 159-230 National Bureau of Economic Research, Inc.
    4. Antonello D'Agostino & Karl Whelan, 2008. "Federal Reserve Information During the Great Moderation," Journal of the European Economic Association, MIT Press, vol. 6(2-3), pages 609-620, 04-05.
    5. Antonello D'Agostino & Domenico Giannone & Paolo Surico, 2005. "(Un)Predictability and Macroeconomic Stability," Macroeconomics 0510024, EconWPA.
    6. Hansen, Bruce E., 2000. "Testing for structural change in conditional models," Journal of Econometrics, Elsevier, vol. 97(1), pages 93-115, July.
    7. Andrews, Donald W K & Ploberger, Werner, 1994. "Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative," Econometrica, Econometric Society, vol. 62(6), pages 1383-1414, November.
    Full references (including those not matched with items on IDEAS)

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ice:wpaper:wp38. 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: (Central Bank of Iceland). General contact details of provider: http://edirc.repec.org/data/sedgvis.html .

    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 CitEc recognized a reference but did not link an item in RePEc 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.