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DOES THE GREAT RECESSION IMPLY THE END OF THE GREAT MODERATION? INTERNATIONAL EVIDENCE

Amélie Charles, Olivier Darné and Laurent Ferrara ()

Economic Inquiry, 2018, vol. 56, issue 2, 745-760

Abstract: In this paper we examine whether or not the Great Recession had a temporary or permanent effect on output growth volatility after years of low macroeconomic volatility since the early eighties. Based on break detection methods applied to a set of advanced countries, our empirical results do not give evidence to the end of the Great Moderation period but rather that the Great Recession is characterized by a dramatic short‐lived effect on the output growth but not on its volatility. We show that neglecting the breaks both in mean and in variance can have large effects on output volatility modeling based on GARCH specifications. (JEL E32, C22, O40)

Date: 2018
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https://doi.org/10.1111/ecin.12551

Related works:
Working Paper: Does the Great Recession imply the end of the Great Moderation? International evidence (2017)
Working Paper: Does the Great Recession imply the end of the Great Moderation? International evidence (2014) Downloads
Working Paper: Does the Great Recession imply the end of the Great Moderation? International evidence (2014) Downloads
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