The Less-Volatile U.S. Economy: A Bayesian Investigation of Timing, Breadth, and Potential Explanations
Chang-Jin Kim (),
Charles Nelson and
Jeremy Piger ()
Journal of Business & Economic Statistics, 2004, vol. 22, issue 1, 80-93
Using a Bayesian model comparison strategy, we search for a volatility reduction in U.S. real gross domestic product (GDP) growth within the postwar sample. We find that aggregate real GDP growth has been less volatile since the early 1980s, and that this volatility reduction is concentrated in the cyclical component of real GDP. Sales and production growth in many of the components of real GDP display similar reductions in volatility, suggesting the aggregate volatility reduction does not have a narrow source. We also document structural breaks in inflation dynamics that occurred over a similar time frame as the GDP volatility reduction.
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Working Paper: The less volatile U.S. economy: a Bayesian investigation of timing, breadth, and potential explanations (2003)
Working Paper: The less volatile U.S. economy: a Bayesian investigation of timing, breadth, and potential explanations (2001)
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Persistent link: https://EconPapers.repec.org/RePEc:bes:jnlbes:v:22:y:2004:i:1:p:80-93
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