-2001, the corresponding standard deviation was 1.6%. This paper investigates this large drop in the cyclical volatility OF real … volatility using a large number of U.S. economic time series and a variety of methods designed to describe time-varying time … explanations for this 'great moderation.' Taken together, we estimate that the moderation in volatility is attributable to a …

high volatility are followed by periods of low volatility. For instance, the turbulent 1970s were followed by the much more … tranquil times of the great moderation from 1984 to 2007. Modeling these movements in volatility is important to understand the … different mechanisms proposed in the literature to generate changes in volatility similar to the ones observed in the data …

Over the postwar, the U.S., Europe and Japan have experienced what may be thought of as medium frequency oscillations …, further, appear to bear some relation to the high frequency volatility of output. That is, periods of stagnation are often …