منابع مشابه
What Caused the Decline in US Business Cycle Volatility?
This paper investigates the sources of the widely noticed reduction in the volatility of American business cycles since the mid 1980s. Our analysis of reduced volatility emphasises the sharp decline in the standard deviation of changes in real GDP, of the output gap, and of the infl ation rate. The primary results of the paper are based on a small three-equation macro model that includes equati...
متن کاملBusiness cycle volatility and economic growth: a reassessment
This paper forms part of the ESRC funded project (Award No. L1382511013) " Business Cycle Volatility and Economic Growth: A Comparative Time Series Study " , which itself is part of the Understanding the Evolving Macroeconomy Research programme.
متن کاملBusiness Cycle and Stock Market Volatility: A Particle Filter Approach
The recent observed decline of business cycle variability suggests that broad macroeconomic risk may have fallen as well. This may in turn have some impact on equity risk premia. We investigate the latent structures in the volatilities of the business cycle and stock market valuations by estimating a Markov switching stochastic volatility model. We propose a sequential Monte Carlo technique for...
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ژورنال
عنوان ژورنال: German Economic Review
سال: 2004
ISSN: 1468-0475,1465-6485
DOI: 10.1111/j.1465-6485.2004.00117.x