Sales Persistence and the Reductions in GDP Volatility
نویسندگان
چکیده
منابع مشابه
Sales Persistence and the Reductions in GDP Volatility
A number of explanations for the observed decline in GDP volatility since the mid‐1980s have been offered. Valerie Ramey and Daniel Vine (2003a, 2003b) in a couple of recent papers offer the hypothesis that a decline in the persistence of sales is an explanation for the decline in GDP volatility. Their models show that a decrease in sales persistence leads to a decline in the variance of prod...
متن کاملScaling the volatility of GDP growth rates
The distribution of shocks to GDP growth rates is found to be exponential rather than normal. Their standard deviation b scales with GDP where b 5 2 0.1560.03. These macroeconomic results place restrictions on the microeconomic structure of interactions between agents. 1998 Elsevier Science S.A.
متن کاملFire Sales and Endogenous Volatility
After the collapse of the housing bubble in 2007, severe fire sales of assets in the financial sector are accompanied by a rise in the volatility of asset returns in the non-financial firms. To account for their co-movements, I develop a model that highlights the interaction between the financial health of the banking sector and the volatility of asset returns. The novel feature of the model is...
متن کاملUnplanned Inventories and the Decline in GDP Volatility
We study the role of inventories in explaining the decline in U.S. output volatility observed in recent years. Our analysis is motivated by two striking features in the data. First, as is commonly noted, output growth was more volatile than sales growth before 1984 but in recent years they have both become less volatile and about equally as volatile as each other. Second, the forecasting role o...
متن کاملMeasuring Persistence in Volatility Spillovers
This paper analyzes volatility spillovers in multivariate GARCH-type models. We show that the cross-effects between the conditional variances determine the persistence of the transmitted volatility innovations. In particular, the effect of a foreign volatility innovation on a conditional variance is even more persistent than the effect of an own innovation unless it is offset by an accompanying...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2004
ISSN: 1556-5068
DOI: 10.2139/ssrn.760267