The decline in volatility in the US economy. A historical perspective

C-Tier
Journal: Oxford Economic Papers
Year: 2020
Volume: 72
Issue: 1
Pages: 101-123

Authors (3)

María Dolores Gadea (not in RePEc) Ana Gómez-Loscos (Banco de España) Gabriel Pérez-Quirós (not in RePEc)

Score contribution per author:

0.335 = (α=2.01 / 3 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

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.

Technical Details

RePEc Handle
repec:oup:oxecpp:v:72:y:2020:i:1:p:101-123.
Journal Field
General
Author Count
3
Added to Database
2026-01-25