Stock return volatility during the Great Depression has been labeled a "volatility puzzle" because the standard …, and Jones; 1990). We investigate the "volatility puzzle" using a new series of building permits, a forward-looking measure … of economic activity. Our results suggest that the volatility of building permit growth largely explains the high level …

In line with Keynes' intuition, volatility in the stock market and in real economic activity are linked by expectations …'s excess volatility puzzle with the business cycle …

Recent critiques have demonstrated that existing attempts to account for the unemployment volatility puzzle of search … volatility of risk-free rates. We propose a model that is immune to these critiques and solves this puzzle by allowing for …

role for credit growth (beyond its role in constructing the inflation forecast) would reduce the volatility of output and …

The remarkable decline in macroeconomic volatility experienced by the U.S. economy since the mid-80s (the so … to identified shocks. Among other changes, our findings point to (i) an increase in the volatility of hours relative to … output, (ii) a shrinking contribution of non-technology shocks to output volatility, and (iii) a change in the cyclical …

In this paper we investigate the sources of the important shifts in the volatility of U.S. macroeconomic variables in … the postwar period. To this end, we propose the estimation of DSGE models allowing for time variation in the volatility of … investment specific technology shocks account for most of the sharp decline in volatility of the last two decades …

-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 …