Explaining the Great Moderation - it is not the shocks

Domenico Giannone (), Michele Lenza () and Lucrezia Reichlin ()

No 865, Working Paper Series from European Central Bank

Abstract: This paper shows that the explanation of the decline in the volatility of GDP growth since the mid-eighties is not the decline in the volatility of exogenous shocks but rather a change in their propagation mechanism. JEL Classification: E32, E37, C32, C53.

Keywords: Shocks; Information; Great Moderation. (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-bec, nep-cba and nep-mac
Date: Written 2008-02
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Related works:
Working Paper: Explaining The Great Moderation: It Is Not The Shocks (2007)
Journal Article: Explaining The Great Moderation: It Is Not The Shocks (2008)
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