全球智库信息集成服务系统(G2TT): DP10825 The Great Moderation in historical perspective.Is it that great?

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP10825
	DP10825 The Great Moderation in historical perspective.Is it that great?
	Gabriel Pérez-Quirós; Maria Dolores Gadea Rivas; Ana Gomez-Loscos
发表日期	2015-09-20
出版年	2015
语种	英语
摘要	The Great Moderation (GM) is widely documented in the literature as one of the most important changes in the US business cycle. All the papers that analyze it use post WWII data. In this paper, for the first time we place the GM in a long historical perspective, stretching back a century and a half, which includes secular changes in the economic structure and a substantial reduction of output volatility. We find two robust structural breaks in volatility at the end of WWII and in the mid-eighties, showing that the GM still holds in the longer perspective. Furthermore, we show that GM volatility reduction is only linked to expansion features. We also date the US business cycle in the long run, finding that volatility plays a primary role in the definition of the business cycle, which has important consequences for econometricians and forecasters.
主题	Monetary Economics and Fluctuations
关键词	Business cycle Secular changes Structural breaks Volatility
URL	https://cepr.org/publications/dp10825
来源智库	Centre for Economic Policy Research (United Kingdom)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/539654
推荐引用方式 GB/T 7714	Gabriel Pérez-Quirós,Maria Dolores Gadea Rivas,Ana Gomez-Loscos. DP10825 The Great Moderation in historical perspective.Is it that great?. 2015.