Greater moderations

John Keating and Victor (Vic) Valcarcel

Economics Letters, 2012, vol. 115, issue 2, 168-171

Abstract: Using a 219-year sample, we find that the US output growth and inflation volatilities fell by 60% and 76%, respectively, from 1945 until the mid-1960s. This Postwar Moderation is more substantial than the Great Moderation. The largest reduction in inflation volatility occurred during the Classical Gold Standard period. Our empirical model implies that aggregate supply accounts for most of the changes in output growth volatility while aggregate demand accounts for most of the changes in inflation volatility.

Keywords: The Great Moderation; The Postwar Moderation; Time-varying parameters; Stochastic volatility; Structural vector autoregression (search for similar items in EconPapers)
JEL-codes: E30 E31 E65 (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

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Working Paper: Greater Moderations (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:115:y:2012:i:2:p:168-171

DOI: 10.1016/j.econlet.2011.12.020

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