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Changes in Variability of the Business Cycle in the G7 Countries

Dick van Dijk (), Denise Osborn () and Marianne Sensier ()

Centre for Growth and Business Cycle Research Discussion Paper Series from Economics, The Univeristy of Manchester

Abstract: Volatility breaks are tested and documented for 19 important monthly macroeconomic time series across the G7 countries. Across all conditional mean specifications considered, including both linear and nonlinear models with and without a structural break, volatility breaks are found to be widespread. This continues to hold when business cycle nonlinearities are allowed in the variance. Multiple volatility breaks are also examined, and these are found to be especially prevalent for short-term interest rates. Volatility breaks in industrial production and consumer prices are largely synchronous across the G7. The facts established are discussed in the context of some explanations put forward in the literature to explain volatility breaks previously found for US series.

Keywords: volatility; growth; structural change tests; business cycle nonlinearity (search for similar items in EconPapers)
Date: 2002
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Working Paper: Changes in variability of the business cycle in the G7 countries (2002) Downloads
Working Paper: Changes in variability of the business cycle in the G7 countries (2002) Downloads
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