Short-term Volatility versus Long-term Growth: Evidence in US Macroeconomic Time Series
Marianne Sensier () and
Dick van Dijk ()
No 164, Royal Economic Society Annual Conference 2002 from Royal Economic Society
We test for a change in the volatility of 215 US macroeconomic time series over the period 1960-1996. We find that about 90% of these series have experienced a break in volatility during this period. This result is robust to controlling for instability in the mean and business cycle nonlinearities. Real variables have seen a reduction in volatility since the early 1980s, which is accompanied by lower but steadier output growth. Furthermore, nominal variables have seen temporary increases in their volatility around the early 1980s. This suggests the existence of a trade-off between short-term volatility and the long-term pattern of growth.
New Economics Papers: this item is included in nep-ets
References: Add references at CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
http://repec.org/res2002/Sensier.pdf full text
Working Paper: Short-term volatility versus long-term growth: evidence in US macroeconomic time series (2001)
Working Paper: Short-term Volatility versus Long-term Growth: Evidence in US Macroeconomic Time Series (2001)
Working Paper: Short-term Volatility Versus Long-term Growth: Evidence in US Macroeconomic Time Series (2001)
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:ecj:ac2002:164
Access Statistics for this paper
More papers in Royal Economic Society Annual Conference 2002 from Royal Economic Society Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F. Baum ().