Great Moderation(s) And U.s. Interest Rates: Unconditional Evidence

James Nason and Gregor Smith

No 1140, Working Paper from Economics Department, Queen's University

Abstract: The US economy experienced a Great Moderation sometime in the mid-1980s -- a fall in the volatility of output growth -- at the same time as a fall in both the volatility of inflation andthe average rate of inflation. We put this moderation in historical perspective by comparing it to the post-WWII moderation. According to theory, the statistical moments -- bothreal and nominal -- that shift during these moderations in turn influence interest rates. We examine the predictions for shifts in the unconditional average of US interest rates. A central finding is that such shifts probably were due to changes in average inflation rather than to those in the variances of inflation andconsumption growth.

Keywords: great moderation; asset pricing (search for similar items in EconPapers)
JEL-codes: E32 E43 N12 (search for similar items in EconPapers)
Pages: 34 pages
Date: 2007-11
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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https://www.econ.queensu.ca/sites/econ.queensu.ca/files/qed_wp_1140.pdf First version 2007 (application/pdf)

Related works:
Journal Article: Great Moderation(s) and US Interest Rates: Unconditional Evidence (2008)
Working Paper: Great moderations and U.S. interest rates: unconditional evidence (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:qed:wpaper:1140

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