Output volatility in AustraliaApplied Economics, 2009, vol. 41, issue 24, pages 3117-3129 Abstract: A number of papers have documented a significant decline in real GDP volatility in several major OECD economies. Some authors have presented evidence to suggest that this is the outcome of a one-off structural break from a high to low volatility state whilst others have estimated regime switching models that indicate low volatility regime states have dominated in recent years. This article provides further evidence on the general properties of output volatility for Australia, including evidence of a significant moderation in output volatility for the country that occurred in the early 1980s. Estimates of various GARCH models of real GDP growth are also provided to further examine shorter term volatility features of the Australian economy that are associated with its business-cycle. A regime shift dummy is maintained in all models of the conditional variance in order to account for the regime shift in volatility and evidence is found of significant business-cycle effects, including leverage effects and asymmetries that suggest recessions are times of higher output volatility than economic expansions. Overall, it is concluded that the so-called 'Great Moderation' in macroeconomic instability, as documented here for Australia, is a result of a myriad of economic, institutional and policymaking changes. Date: 2009 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: http://EconPapers.repec.org/RePEc:taf:applec:v:41:y:2009:i:24:p:3117-3129 Ordering information: This journal article can be ordered from Access Statistics for this article Applied Economics is edited by Mark Taylor More articles in Applied Economics from Taylor and Francis Journals |
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