The decline in volatility in the US economy. A historical perspective
María Dolores Gadea,
Ana Gómez-Loscos () and
Authors registered in the RePEc Author Service: Gabriel Perez Quiros
Oxford Economic Papers, 2020, vol. 72, issue 1, 101-123
In this paper, we analyse the volatility of US GDP growth using quarterly series starting in 1875. We find structural breaks in volatility at the end of World War II and at the beginning of the Great Moderation period. We show that the Great Moderation volatility reduction is only linked to changes in expansions, whereas that after World War II is due to changes in both expansions and recessions. We also propose several methodologies to date the US business cycle in this long period. We find that taking volatility into account improves the characterization of the business cycle.
JEL-codes: C22 E32 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:oup:oxecpp:v:72:y:2020:i:1:p:101-123.
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