The Less-Volatile U.S. Economy: A Bayesian Investigation of Timing, Breadth, and Potential Explanations

Chang Jin Kim, Charles R. Nelson, Jeremy Piger

Research output: Contribution to journalArticle

78 Citations (Scopus)

Abstract

Using a Bayesian model comparison strategy, we search for a volatility reduction in U.S. real gross domestic product (GDP) growth within the postwar sample. We find that aggregate real GDP growth has been less volatile since the early 1980s, and that this volatility reduction is concentrated in the cyclical component of real GDP. Sales and production growth in many of the components of real GDP display similar reductions in volatility, suggesting the aggregate volatility reduction does not have a narrow source. We also document structural breaks in inflation dynamics that occurred over a similar time frame as the GDP volatility reduction.

Original languageEnglish
Pages (from-to)80-93
Number of pages14
JournalJournal of Business and Economic Statistics
Volume22
Issue number1
DOIs
Publication statusPublished - 2004 Jan

Keywords

  • Bayes factor
  • Business cycle
  • Stabilization
  • Structural break

ASJC Scopus subject areas

  • Statistics and Probability
  • Social Sciences (miscellaneous)
  • Economics and Econometrics
  • Statistics, Probability and Uncertainty

Fingerprint Dive into the research topics of 'The Less-Volatile U.S. Economy: A Bayesian Investigation of Timing, Breadth, and Potential Explanations'. Together they form a unique fingerprint.

  • Cite this