The decline in volatility of US GDP growth

摘要

The decline in volatility of US Gross Domestic Product (GDP) growth is a well-known stylized fact of post WWII macroeconomic data. Economists call this observation the Great Moderation. This article contributes to the discussion whether the drop in GDP volatility was a one-time break or a trend decrease (Blanchard and Simon, 20012. Blanchard, O. and Simon, J. 2001. The long and large decline in US output volatility. Brookings Papers on Economic Activity , 2001: 135-66. [CrossRef]View all references; Fang and Miller, 20073. Fang, W. and Miller, S. M. 2007. “The great moderation and the relationship between output growth and its volatility”. In Working Paper No. 2007-4, University of Connecticut View all references). We provide evidence for a nonlinear time trend in the volatility of GDP growth and give support for the hypothesis that the 1970s were special in the sense of Blanchard and Simon (20012. Blanchard, O. and Simon, J. 2001. The long and large decline in US output volatility. Brookings Papers on Economic Activity , 2001: 135-66. [CrossRef]View all references).View full textDownload full textRelated var addthis_config = { ui_cobrand: "Taylor & Francis Online", services_compact: "citeulike,netvibes,twitter,technorati,delicious,linkedin,facebook,stumbleupon,digg,google,more", pubid: "ra-4dff56cd6bb1830b" }; Add to shortlist Link Permalink http://dx.doi.org/10.1080/13504850903085050