The decline in volatility in the US economy. A historical perspective

Gadea, María Dolores (Universidad de Zaragoza) ; Gómez-Loscos, Ana ; Pérez-Quirós, Gabriel

Resumen: In this paper, we analyse the volatility of US GDP growth using quarterly series starting in 1875. We find structural breaks in volatility at the end of World War II and at the beginning of the Great Moderation period. We show that the Great Moderation volatility reduction is only linked to changes in expansions, whereas that after World War II is due to changes in both expansions and recessions. We also propose several methodologies to date the US business cycle in this long period. We find that taking volatility into account improves the characterization of the business cycle.

Idioma: Inglés

DOI: 10.1093/oep/gpz030

Año: 2020

Publicado en: Oxford Economic Papers 72, 1 (2020), 101-123
ISSN: 0030-7653

Factor impacto JCR: 1.29 (2020)

Categ. JCR: ECONOMICS rank: 264 / 376 = 0.702 (2020) - Q3 - T3

Factor impacto SCIMAGO: 0.68 - Economics and Econometrics (Q2)

Financiación: info:eu-repo/grantAgreement/ES/MICINN/ECO2017-83255-C3-1-P
Financiación: info:eu-repo/grantAgreement/ES/MINEIC/ECO2017-83255-C3-3-P

Tipo y forma: Article (PostPrint)

Área (Departamento): Área Economía Aplicada (Dpto. Estruc.Hª Econ.y Eco.Pb.)