The not-so-great moderation? Evidence on changing volatility from Australian regions

David Shepherd and Robert Dixon

No 1090, Department of Economics - Working Papers Series from The University of Melbourne

Abstract: In this paper we examine Australian data on national and regional employment numbers, focusing in particular on whether there have been common national and regional changes in the volatility of employment. A subsidiary objective is to assess whether the results derived from traditional growth rate models are sustained when alternative filtering methods are used. In particular, we compare the results of the growth rate models with those obtained from Hodrick-Prescott models. Using frequency filtering methods in conjunction with autoregressive modeling, we show that there is considerable diversity in the regional pattern of change and that it would be wrong to suppose that results derived from the aggregate employment series are generally applicable across the regions. The results suggest that the so-called great moderation may have been less extensive than aggregate macro studies suggest.

Keywords: Regional employment; State business cycle; Structural change; Volatility (search for similar items in EconPapers)
JEL-codes: C22 E32 R12 (search for similar items in EconPapers)
Pages: 38 pages
Date: 2010
New Economics Papers: this item is included in nep-bec and nep-geo
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