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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
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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 … breaks in the growth rate and its volatility. In so doing, we employ autoregressive generalized conditional … growth rate and its volatility with and without structural breaks in the mean and volatility processes. We discover one break …
Persistent link: https://www.econbiz.de/10013065738
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The Great Moderation and Leptokurtosis after GARCH Adjustment
Fang, Wen-Shwo - 2010
Recently, Fagiolo et al. (2008) find fat tails of economic growth rates after adjusting for outliers, autocorrelation, and heteroskedasticity. This paper employs US quarterly real output growth, showing that this finding of fat tails may reflect the Great Moderation. That is, leptokurtosis...
Persistent link: https://www.econbiz.de/10012757983
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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 … conditional heteroskedasticity (GARCH) specifications modeling output growth and its volatility with and without the break in …
Persistent link: https://www.econbiz.de/10014051340
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The Great Moderation and the Relationship between Output Growth and its Volatility
Fang, Wen-Shwo; Miller, Stephen M. - 2008
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 of the process describing output growth rate and its volatility … with and without a one-time structural break in volatility. Second, our data analyses and empirical results suggest no …
Persistent link: https://www.econbiz.de/10014051341
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Housing and the Great Depression
Balcilar, Mehmet - 2015
This paper considers the role of the real housing price in the Great Depression. More specifically, we examine structural stability of the relationship between the real housing price and real GDP per capita. We test for structural change in parameter values, using a sample of annual US data from...
Persistent link: https://www.econbiz.de/10013036015
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Growth volatility and inequality in the U.S. : a wavelet analysis
Chang, Shinhye; Gupta, Rangan; Miller, Stephen M.; … - 2018
Persistent link: https://www.econbiz.de/10011881494
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Output growth and its volatility : the gold standard through the great moderation
Fang, Wen-shwo; Miller, Stephen M. - 2012
Persistent link: https://www.econbiz.de/10009581859
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Is the great moderation ending? : UK and U.S. evidence
Canarella, Giorgio; Fang, Wen-shwo; Miller, Stephen M.; … - In: Modern economy 1 (2010) 1, pp. 17-42
Persistent link: https://www.econbiz.de/10009306010
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Was the Recent Downturn in US GDP Predictable?
Balcilar, Mehmet - 2015
This paper uses small set of variables-- real GDP, the inflation rate, and the short-term interest rate -- and a rich set of models -- athoeretical (time-series) and theoretical (structural), linear and nonlinear, as well as classical and Bayesian models -- to consider whether we could have...
Persistent link: https://www.econbiz.de/10013036275