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Great moderation or "will o' the wisp"? : a time-frequency decomposition of GDP for the US and UK

Crowley, Patrick M.; Hughes Hallett, Andrew - In: Journal of macroeconomics 44 (2015), pp. 82-97

Persistent link: https://www.econbiz.de/10011570305

Nowcasting GDP with a pool of factor models and a fast estimation algorithm

Eraslan, Sercan; Schröder, Maximilian - In: International journal of forecasting 39 (2023) 3, pp. 1460-1476

Persistent link: https://www.econbiz.de/10014465295

The effect of the great moderation on the US business cycle in a time-varying multivariate trend-cycle model

Creal, Drew; Koopman, Siem Jan; Zivot, Eric - 2008

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...

Persistent link: https://www.econbiz.de/10011376640

Should I open to forecast? : implications from a multi-country unobserved components model with sparse factor stochastic volatility

Wu, Ping - In: International journal of forecasting 40 (2024) 3, pp. 903-917

Persistent link: https://www.econbiz.de/10014547224

Effects of exchange rate, output gap, and output gap volatility on inflation volatility in Turkey

Özer, Mustafa; Grubišić, Zoran; Küçüksakarya, Sevilay - In: Journal of central banking theory and practice 12 (2023) 1, pp. 5-26

This study first investigates the short and long-run effectsof exchange rate, output gap and output gap volatility on inflationvolatility in Turkey by using the ARDL bounds testing approach.Second, we also examine the causal relationship among these vari-ables by using Toda-Yamamoto and...

Persistent link: https://www.econbiz.de/10014312187

Are long-run output growth rates falling?

Li, Mengheng; Mendieta-Muñoz, Ivan - 2018

This paper studies the evolution of long-run output and labour productivity growth rates in the G-7 countries during …-varying parameter models that incorporate both stochastic volatility and a Heckman-type two-step estimation procedure that deals with … productivity appears to be behind the slowdown in long-run GDP growth. …

Persistent link: https://www.econbiz.de/10011823990

Testing for time variation in an unobserved components model for the U.S. economy

Berger, Tino; Everaert, Gerdie; Vierke, Hauke - In: Journal of economic dynamics & control 69 (2016), pp. 179-208

Persistent link: https://www.econbiz.de/10011708530

Measuring the natural rate of interest after COVID-19

Holston, Kathryn; Laubach, Thomas; Williams, John C. - 2023

We modify the Laubach-Williams and Holston-Laubach-Williams models of the natural rate of interest to account for time-varying volatility and a persistent COVID supply shock during the pandemic. Resulting estimates of the natural rate of interest in the United States, Canada, and the Euro Area...

Persistent link: https://www.econbiz.de/10014302828

Decline is US output growth volatility : a wavelet analysis

Lo Cascio, Iolanda - In: The Manchester School 81 (2013) 2, pp. 226-242

Persistent link: https://www.econbiz.de/10009755576

From the "Great Inflation" to the "Great Moderation" in Peru : a time varying structural vector autoregressions analysis

Castillo B., Paul; Montoya, Jimena; Quineche, Ricardo - 2016

Persistent link: https://www.econbiz.de/10011503984

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