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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

Regularized Estimation of Structural Instability in Factor Models : The US Macroeconomy and the Great Moderation

Callot, Laurent - 2015

This paper shows that the parsimoniously time-varying methodology of Callot and Kristensen (2015) can be applied to factor models. We apply this method to study macroeconomic instability in the US from 1959:1 to 2006:4 with a particular focus on the Great Moderation. Models with parsimoniously...

Persistent link: https://www.econbiz.de/10013021882

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

Banking networks and economic growth: from idiosyncratic shocks to aggregate fluctuations

Kundu, Shohini; Vats, Nishant - 2021

This paper explores the transmission of non-capital shocks through banking networks. We develop a methodology to construct non-capital (idiosyncratic) shocks, using labor productivity shocks to large firms. We document a change in the relationship between foreign idiosyncratic shocks and...

Persistent link: https://www.econbiz.de/10012694566

Endogenous Growth, Monetary Shocks and Nominal Rigidities

Annicchiarico, Barbara; Pelloni, Alessandra; Rossi, Lorenza - 2010

: (i) monetary volatility negatively affects long-run growth; (ii) the relation between nominal volatility and growth … increases the negative effect of nominal volatility on mean growth. …

Persistent link: https://www.econbiz.de/10010343890

Financial variables as predictors of real growth vulnerability

Reichlin, Lucrezia; Ricco, Giovanni; Hasenzagl, Thomas - 2020 - This version: 30th October 2019

We evaluate the role of financial conditions as predictors of macroeconomic risk first in the quantile regression framework of Adrian et al. (2019b), which allows for non-linearities, and then in a novel linear semi-structural model as proposed by Hasenzagl et al. (2018). We distinguish between...

Persistent link: https://www.econbiz.de/10012173525

Government deficit shocks and Okun's coefficient volatility : new insights on the austerity versus growth debate

Binh Thai Pham; Sala, Hector - 2019

This paper connects two salient economic features: (i) Fiscal shocks have asymmetric effects across business cycle phases (Gechert et al., 2019); (ii) Okun's coefficient is time varying and may be unstable. The intertwined dynamic behavior of fiscal shocks and unemployment-output trade-offs are...

Persistent link: https://www.econbiz.de/10012054782

Volatility and growth : governments are key

Jetter, Michael - 2013

paper offers a solution to this disagreement, suggesting that volatility carries a positive direct effect, but also a … volatility is then ambiguous. The paper reveals the underlying endogeneity of government size in a balanced panel of 95 countries … increase of volatility lowers growth by up to 0.57 percentage points in a democracy, but raises growth by 1.74 percentage …

Persistent link: https://www.econbiz.de/10010228789

Oil prices and the global economy : is it different this time around?

Mohaddes, Kamiar; Pesaran, M. Hashem - 2016

The recent plunge in oil prices has brought into question the generally accepted view that lower oil prices are good for the US and the global economy. In this paper, using a quarterly multi-country econometric model, we first show that a fall in oil prices tends relatively quickly to lower...

Persistent link: https://www.econbiz.de/10011502542

A probit model for the state of the Greek GDP growth

Degiannakis, Stavros - In: International Journal of Financial Studies : open … 3 (2015) 3, pp. 381-392

evaluates the performance of the models. The probit model with the industrial production index and the realized volatility as …

Persistent link: https://www.econbiz.de/10011312197

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