Output Volatility in AustraliaNo 106, MRG Discussion Paper Series from School of Economics, University of Queensland, Australia 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 paper provides a different perspective on volatility decline. Evidence is provided of a smoother, longer term decline that would appear to be the result of many more general changes in the economy over time, rather than particular events, such as abrupt changes in inventory management methods, the floating of exchange rates or changes to the conduct of monetary policy. The paper also provides estimates of various GARCH models of real GDP growth to further examine shorter term volatility features of the economy associated with the business cycle. A linear trend term is maintained in all models of the conditional variance to account for the general long-term decline in volatility and evidence is provided of significant business cycle effects, including asymmetries that suggest recessions are times of higher output volatility than economic expansions. New Economics Papers: this item is included in nep-mac Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: http://EconPapers.repec.org/RePEc:qld:uqmrg6:01 Access Statistics for this paper More papers in MRG Discussion Paper Series from School of Economics, University of Queensland, Australia |
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