Similar Search Results

Cross-Country Evidence on Output Growth Volatility : Nonstationary Variance and Garch Models

Fang, Wen-Shwo; Miller, Stephen M.; Lee, Chun-Shen - 2009

This paper revisits the issue of conditional volatility in real GDP growth rates for Canada, Japan, the United Kingdom, and the United States. Previous studies find high persistence in the volatility. This paper shows that this finding largely reflects a nonstationary variance. Output growth in...

Persistent link: https://www.econbiz.de/10014051340

The Great Moderation and the Relationship between Output Growth and its Volatility

Fang, Wen-Shwo; Miller, Stephen M. - 2008

This study examines the effect of the Great Moderation on the relationship between U.S. output growth and its volatility over the period 1947 to 2006. First, we consider the possible effects of structural change in the volatility process. In so doing, we employ GARCH-M and ARCH-M specifications...

Persistent link: https://www.econbiz.de/10014051341

Output Growth and Its Volatility : The Gold Standard through the Great Moderation

Fang, Wen-Shwo - 2014

This study examines the relationship between U.S. output growth and its volatility over the period 1875:Q1 to 2008:Q2. We examine the data for outliers and apply corrections when found. Next, we search for possible effects of structural breaks in the growth rate and its volatility. In so doing,...

Persistent link: https://www.econbiz.de/10013065738

Is the Great Moderation Ending? UK and US Evidence

Canarella, Giorgio; Fang, Wen-Shwo; Miller, Stephen M.; … - 2010

The Great Moderation, the significant decline in the variability of economic activity, provides a most remarkable feature of the macroeconomic landscape in the last twenty years. A number of papers document the beginning of the Great Moderation in the US and the UK. In this paper, we use the...

Persistent link: https://www.econbiz.de/10014215633

Does Real U.K. GDP Have a Unit Root? Evidence from a Multi-Century Perspective

Canarella, Giorgio - 2020

We employ the nonlinear unit-root test recently developed by Omay et al. (2018), as well as other linear and nonlinear tests, to examine the stationarity of five multi-century historical U.K. series of real output compiled by the Bank of England (Thomas and Dimsdale, 2017). Three series span...

Persistent link: https://www.econbiz.de/10012827252

Partisan Conflict and Income Distribution in the United States : A Nonparametric Causality-in-Quantiles Approach

Balcilar, Mehmet - 2020

This study examines the predictive power of a partisan conflict index on income inequality. Our study adds to the existing literature by using the newly introduced nonparametric causality-in-quantile testing approach to examine how political polarization in the Unites States affects several...

Persistent link: https://www.econbiz.de/10012854161

Modeling U.S. Historical Time-Series Prices and Inflation Using Various Linear and Nonlinear Long-Memory Approaches

Canarella, Giorgio - 2020

This paper estimates the complete historical US price data by employing a relatively new statistical methodology based on long memory. We consider, in addition to the standard case, the possibility of nonlinearities in the form of nonlinear deterministic trends as well as the possibility that...

Persistent link: https://www.econbiz.de/10012854954

Convergence in Income Inequality : Further Evidence from the Club Clustering Methodology Across the U.S. States

Apergis, Nicholas - 2020

This paper contributes to the sparse literature on inequality convergence by empirically testing convergence across the … convergence testing, recommended by Phillips and Sul (2007). This method examines the club convergence hypothesis, which argues …-specific steady-state positions. We find strong support for convergence through the late 1970s and early 1980s and then evidence of …

Persistent link: https://www.econbiz.de/10012856165

Persistence and Cyclical Dynamics of U.S. and U.K. House Prices : Evidence from Over 150 Years of Data

Canarella, Giorgio - 2020

This paper provides a new and unique look at the dynamics and persistence of historical house prices in the US and the UK using fractional integration techniques not previously applied to housing markets. We use annual data from 1830 to 2016 for the US and 1845 to 2016 for the UK, which provides...

Persistent link: https://www.econbiz.de/10012852082

Was the recent downturn in US GDP predictable?

Balcilar, Mehmet; Gupta, Rangan; Majumdar, Anandamayee; … - 2012

Persistent link: https://www.econbiz.de/10009725427

1
2
3
4
5
6
7
8
9
10
Next
Last