We examine the size properties of tests for causality in variance in the presence of structural breaks in volatility. Extensive Monte Carlo simulations demonstrate that these tests suffer from severe size distortions when such breaks are not taken into account. Pre-testing the series for...

We test for a change in the volatility of 215 US macroeconomic time series over the period 1960-1996. We find that about 90\% of these series have experienced a break in volatility during this period. This result is robust to controlling for instability in the mean and business cycle...

Volatility breaks are tested and documented for 19 important monthly macroeconomic time series across the G7 countries. Across all conditional mean specifications considered, including both linear and nonlinear models with and without a structural break, volatility breaks are found to be...