Weber, Enzo (2011) Analyzing US Output and the Great Moderation by Simultaneous Unobserved Components. JOURNAL OF MONEY CREDIT AND BANKING, 43 (8). pp. 1579-1597. ISSN 0022-2879,
Full text not available from this repository. (Request a copy)Abstract
This paper seeks to determine the causal interaction between structural trend and cycle innovations in an unobserved components framework of aggregate output. For the purpose of identification, I propose allowing for shifts in volatility. This strategy provides good estimation precision when applied to U. S. industrial production. In the early 1980s, predominance of cycle shocks gives way to strong negative spillovers of trend impulses, consistent with real business cycle theories. The coincident reduction of macroeconomic volatility was mainly caused by pronounced dampening of transitory disturbances. This is in accordance with an important role of macroeconomic policy in explaining the Great Moderation.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | BUSINESS-CYCLE; MACROECONOMIC STABILITY; AGGREGATE FLUCTUATIONS; ECONOMIC-ACTIVITY; UNITED-STATES; STOCK-PRICES; TIME-SERIES; PERMANENT; MODELS; TRENDS; unobserved components; trend; cycle; identification; Great Moderation |
| Subjects: | 300 Social sciences > 330 Economics 900 History & geography > 940 General history of Europe |
| Divisions: | Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie > Lehrstuhl für Empirische Wirtschaftsforschung, insbesondere Makroökonomie und Arbeitsmarkt (Prof. Dr. Enzo Weber) Institute for East and Southeast European Studies (IESES) |
| Depositing User: | Dr. Gernot Deinzer |
| Date Deposited: | 26 May 2020 05:57 |
| Last Modified: | 26 May 2020 05:57 |
| URI: | https://pred.uni-regensburg.de/id/eprint/19717 |
Actions (login required)
 |
View Item |
