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The not-so-great moderation? Evidence on changing volatility from Australian regions

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Listed author(s):
  • David Shepherd
  • Robert Dixon

Abstract

In this paper we examine Australian data on national and regional employment numbers, focusing in particular on whether there have been common national and regional changes in the volatility of employment. A subsidiary objective is to assess whether the results derived from traditional growth rate models are sustained when alternative filtering methods are used. In particular, we compare the results of the growth rate models with those obtained from Hodrick-Prescott models. Using frequency filtering methods in conjunction with autoregressive modeling, we show that there is considerable diversity in the regional pattern of change and that it would be wrong to suppose that results derived from the aggregate employment series are generally applicable across the regions. The results suggest that the so-called great moderation may have been less extensive than aggregate macro studies suggest.

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File URL: http://fbe.unimelb.edu.au/__data/assets/pdf_file/0015/801060/1090.pdf
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Paper provided by The University of Melbourne in its series Department of Economics - Working Papers Series with number 1090.

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Length: 38 pages
Date of creation: 2010
Handle: RePEc:mlb:wpaper:1090
Contact details of provider: Postal:
Department of Economics, The University of Melbourne, 4th Floor, FBE Building, Level 4, 111 Barry Street. Victoria, 3010, Australia

Phone: +61 3 8344 8560
Fax: +61 3 8344 6899
Web page: http://fbe.unimelb.edu.au/economics
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More information through EDIRC

Keywords: Regional employment; State business cycle; Structural change; Volatility;

Find related papers by JEL classification:

  • R12 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics - - - Size and Spatial Distributions of Regional Economic Activity; Interregional Trade (economic geography)
  • 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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