Secular Volatility Decline of the U.S. Composite Economic Indicator
Konstantin Kholodilin ()
Applied Econometrics and International Development, 2002, vol. 2, issue 2
The paper treats the issue of decreasing volatility of the U.S. economy observed since the mid-1980s. As a measure of volatility the residual variance of a composite economic indicator with Markov switching is used which. Two additional regimes are included capturing the secular shift in volatility. The mixed frequency is allowed for permitting the use of both monthly and quarterly component series. The low-intercept regime probabilities comply to the NBER business cycle dating, while the low-variance regime probabilities indicate the beginning of 1984 as a possible date of the structural break in volatility.
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eaa:aeinde:v:2:y:2002:i:2_3
Ordering information: This journal article can be ordered from
Access Statistics for this article
More articles in Applied Econometrics and International Development from Euro-American Association of Economic Development
Bibliographic data for series maintained by M. Carmen Guisan ().