Explaining the Great Moderation: it is not the shocks

This paper shows that the explanation of the decline in the volatility of GDP growth since the mid-eighties is not the decline in the volatility of exogenous shocks but rather a change in their propagation mechanism.

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Year of publication:	2008
Authors:	Giannone, Domenico ; Lenza, Michele ; Reichlin, Lucrezia
Publisher:	Frankfurt a. M. : European Central Bank (ECB)
Subject:	Wirtschaftswachstum \| Nationaleinkommen \| Volatilität \| Schock \| Politische Kommunikation \| VAR-Modell \| USA \| Great Moderation \| Information \| shocks

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Series:	ECB Working Paper ; 865
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	577030086 [GVK] hdl:10419/153299 [Handle] RePEc:ecb:ecbwps:20080865 [RePEc]
Classification:	E32 - Business Fluctuations; Cycles ; E37 - Forecasting and Simulation ; C32 - Time-Series Models ; C53 - Forecasting and Other Model Applications
Source:	EconStor

Persistent link: https://www.econbiz.de/10011604911