The heterogeneous Great Moderation

Pancrazi, Roberto

doi:10.1016/j.euroecorev.2014.12.005

Cited by 12 publications

(14 citation statements)

References 55 publications

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“…17 In turn, short-run ‡uctuations do not seem to play much of a role for the other variables. The behavior of unemployment is dominated by medium-term movements with a cycle length of between 8 and 32 years and to a lesser extent by longer-term move- 1 6 This is in line with related research by Pancrazi (2015), who argues that the reduction of volatility of GDP after the mid-1980s is mainly a high-frequency phenomenon of cycles up to 4 years and that it is much milder, or absent, for other frequencies. 1 7 We use …nal data in our empirical study, that is, the last data vintage available.…”

Section: Baseline Resultssupporting

confidence: 82%

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Assessing U.S. Aggregate Fluctuations Across Time and Frequencies

Matthes¹,

Lubik²,

Verona³

2019

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We study the behavior of key macroeconomic variables in the time and frequency domain. For this purpose, we decompose U.S. time series into various frequency components. This allows us to identify a set of stylized facts: GDP growth is largely a high-frequency phenomenon whereby in ‡ation and nominal interest rates are characterized largely by low-frequency components. In contrast, unemployment is a mediumterm phenomenon. We use these decompositions jointly in a structural VAR where we identify monetary policy shocks using a sign restriction approach. We …nd that monetary policy shocks a¤ect these key variables in a broadly similar manner across all frequency bands. Finally, we assess the ability of standard DSGE models to replicate these …ndings. While the models generally capture low-frequency movements via stochastic trends and business-cycle ‡uctuations through various frictions, they fail at capturing the medium-term cycle.

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Section: Baseline Resultssupporting

confidence: 82%

“…Figure C.1 in the Appendix shows that this largely due to the D3 component, indicating that the Great Moderation is essentially a high-frequency event. To this point, see also Aguiar-Conraria et al (2012) andPancrazi (2015).…”

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confidence: 84%

Assessing U.S. Aggregate Fluctuations Across Time and Frequencies

Matthes¹,

Lubik²,

Verona³

2019

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“…Note however that we do not remove any of the high-frequency fluctuations in the data. 44 Details about the hours series we use are provided at the bottom of the figure.45 The figure displays the spectral density of hours for periodicities between 4 and 80 quarters in length, after first using the band-pass filter that removes cycles with periods longer than 80 quarters.46 SeeComin and Gertler [2006] andPancrazi [2015] for similar observations. Note also that these basic properties of the hours spectrum are robust to changes in the upper limit of the band-pass filter from 80 quarters to anywhere from 80 to 150 quarters.…”

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confidence: 99%

Reviving the Limit Cycle View of Macroeconomic Fluctuations

Beaudry¹,

Galizia²,

Portier³

2015

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for comments. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research. At least one co-author has disclosed a financial relationship of potential relevance for this research. Further information is available online at http://www.nber.org/papers/w21241.ack NBER working papers are circulated for discussion and comment purposes. They have not been peerreviewed or been subject to the review by the NBER Board of Directors that accompanies official NBER publications.

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“…While Okun's coefficient may have been unstable across time, it is likely that it has also been unstable for different frequencies. Not only there is evidence that cycles longer than those associated with business cycle frequencies display relevant information for macroeconomic analysis (Pancrazi, 2015), but there is also evidence of a lengthening of business cycles (Aguiar-Conraria, Martins and Soares, 2018, and Crowley and Hallett, 2018). If such volatility transfer has been caused by a change in policy preferences, then it very likely has also affected other main macroeconomic variables, such as the unemployment rate, and their relation with output.…”

Section: Introductionmentioning

confidence: 99%

Okun’s Law across time and frequencies

Aguiar‐Conraria

Martins

Soares

2020

Journal of Economic Dynamics and Control

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We present the first assessment of U.S. Okun's Law across time and frequencies, with a set of continuous wavelet tools that allows for estimating Okun's coefficient and the lead/lag of output over unemployment at each moment of time for each cyclical frequency. We find similar results for the gaps and the first differences specifications at business cycles frequencies, but not at medium and long run cycles. Okun's coefficient has increased (in absolute value) since the mid-1960s, except in 1985-1995, and is not particularly sensitive to recessions. The lead of output varies considerably along time and also at the different frequencies.

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The heterogeneous Great Moderation

Cited by 12 publications

References 55 publications

Assessing U.S. Aggregate Fluctuations Across Time and Frequencies

Assessing U.S. Aggregate Fluctuations Across Time and Frequencies

Reviving the Limit Cycle View of Macroeconomic Fluctuations

Okun’s Law across time and frequencies

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