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Interpreting the Great Moderation: changes in the volatility of economic activity at the macro and micro Levels

Davis, Steven J.; Kahn, James A. - Federal Reserve Bank of New York - 2008

We review evidence on the Great Moderation together with evidence about volatility trends at the micro level to develop a potential explanation for the decline in aggregate volatility since the 1980s and its consequences. The key elements are declines in firm-level volatility and aggregate...

Persistent link: https://www.econbiz.de/10004994124

Markov switching in disaggregate unemployment rates

Chauvet, Marcelle; Juhn, Chinhui; Potter, Simon - Federal Reserve Bank of New York - 2001

We develop a dynamic factor model with Markov switching to examine secular and business cycle fluctuations in U.S. unemployment rates. We extract the common dynamics among unemployment rates disaggregated for seven age groups. The framework allows analysis of the contribution of demographic...

Persistent link: https://www.econbiz.de/10005526273

Recent changes in the U.S. business cycle

Chauvet, Marcelle; Potter, Simon - Federal Reserve Bank of New York - 2001

The U.S. business cycle expansion that started in March 1991 is the longest on record. This paper uses statistical techniques to examine whether this expansion is a onetime unique event or whether its length is a result of a change in the stability of the U.S. economy. Bayesian methods are used...

Persistent link: https://www.econbiz.de/10005526294

Nonlinear risk

Chauvet, Marcelle; Potter, Simon - Federal Reserve Bank of New York - 1999

This paper proposes a flexible framework for analyzing the joint time series properties of the level and volatility of expected excess stock returns. An unobservable dynamic factor is constructed as a nonlinear proxy for the market risk premia with its first moment and conditional volatility...

Persistent link: https://www.econbiz.de/10005420620

What inventory behavior tells us about business cycles

Bils, Mark; Kahn, James A. - Federal Reserve Bank of New York - 1999

are constructed. These measures, which attribute high-frequency productivity shocks to procyclical work effort, are more …

Persistent link: https://www.econbiz.de/10005420645

Tracking the new economy : using growth theory to detect changes in trend productivity

Kahn, James A. (contributor); Rich, Robert W. (contributor) - 2003 - [Elektronische Ressource]

The acceleration of productivity since 1995 has prompted a debate over whether the economy's underlying growth rate … identify variables other than productivity - namely consumption and labor compensation - to help estimate trend productivity … direction. In addition, we find that productivity data alone provide insufficient evidence of regime changes; corroborating …

Persistent link: https://www.econbiz.de/10001751984

What drives housing prices?

Kahn, James A. - Federal Reserve Bank of New York - 2008

productivity growth in the nonhousing sector and shows that such regime switches are a plausible candidate for explaining - both … governs the relationship between productivity growth and home price appreciation. Combined with a realistic model of learning … about the productivity process, the model is able to capture the medium- and low-frequency fluctuations of both price and …

Persistent link: https://www.econbiz.de/10004994126