Empirical evidence suggests a sharp volatility decline of the growth in U.S. gross domestic product (GDP) in the mid-1980s. Using Bayesian methods, we analyze whether a volatility reduction can also be detected for the German GDP. Since statistical inference for volatility processes critically...

This paper shows that the explanation of the decline in the volatility of GDP growth since the mid-eighties is not the decline in the volatility of exogenous shocks but rather a change in their propagation mechanism.

This paper elaborates on the link between financial market volatility and real economic activity. Using monthly data for Germany from 1968 to 1998, we specify GARCH models to capture the variability of stock market prices, of the real exchange rate, and of a long-term and of a short-term rate of...

This paper estimates a trivariate two-factor conditional version of the Intertemporal CAPM of Merton (1973).

In this paper, I study the drop of real GDP volatility which has been observed in the United States during the postwar period. This paper thoroughly estimates how much sectoral shifts contributed to this phenomenon called the Great Moderation. In a short section, Stock and Watson (2003) find...

We show that two models of the labor market, a Walrasian model and a labor contracting model, both have an approximate dynamic factor structure. We use this result to motivate our empirical approach to estimating the cyclical properties of real wages, which does not impose any structure between...

In this paper, I study the drop of real GDP volatility which has been observed in the United States during the postwar period. This paper thoroughly estimates how much sectoral shifts contributed to this phenomenon called the Great Moderation. In a short section, Stock and Watson (2003) find...

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...

This paper considers the linkages between output growth and output volatility for the sample of G7 countries over the period 1958M2-2011M7, thereby paying particular attention to spillovers within and between countries. Using the VAR-based spillover index approach by Diebold and Yilmaz (2012),...

In this paper we investigate whether the dynamic properties of the U.S. business cycle have changed in the last fifty years. For this purpose we develop a flexible business cycle indicator that is constructed from a moderate set of macroeconomic time series. The coincident economic indicator is...