The U.S. during the 1984-2007 Great Moderation saw unusual macroeconomic stability combined with strong growth in asset prices and in credit relative to output. The distribution of credit shifted towards the financial and real estate sectors. The literature shows that each of these trends...

During the Great Moderation, borrowing by the U.S. nonfinancial sector structurally exceeded GDP growth. Using flow-of-fund data, we test the hypothesis that this measure of debt buildup was leading to lower output volatility. We estimate univariate GARCH models in order to obtain estimates for...

Financial innovation during the Great Moderation increased the size and scope of credit flows in the US. Credit flows increased both in volume and with regard to the range of activities and investments that was debt-financed. This may have contributed to the reduction in output volatility that...

This paper makes an attempt to determine the factors influencing exchange rate and exchange rate uncertainty, as well as, output and output variability. In the context of a small open economy under flexible exchange rates regime it is found that the level both of exchange rate and output is...

A nascent literature explores the measurement of financial fragility. This paper considers evidence for rising financial fragility during the 1984–2007 Great Moderation in the U.S. The literature suggests that macroeconomic stability combined with strong growth of credit to asset markets, in...

This paper investigates the short-run and long-run impact of the determinants of output volatility for the G3 during the period 1974-2009. We estimate a multivariate GARCH model and include the covariances of those determinants, which have been ignored in the prior relevant literature. Our...

This paper investigates the short-run and long-run impact of the determinants of nominal exchange rate volatility in three Latin American countries during the period 1979-2009. We estimate a multivariate GARCH model and include the covariances of those determinants, which have been ignored in...

This paper makes an attempt to determine the factors influencing exchange rate and exchange rate uncertainty, as well as output and output variability. In the context of a small open economy under flexible exchange rates regime it is found that the level both of exchange rate and output is...

During the Great Moderation, financial innovation in the US increased the size and scope of credit flows supporting the growth of wealth. We hypothesize that spending out of wealth came to finance a wider range of GDP components such that it smoothed GDP. Both these trends combined would be...