business cycles

Learning and the Great Moderation

Version Date: 
Jul 2009
Author/s: 
Abstract: 

We study a stylized theory of the volatility reduction in the U.S. after 1984 - the Great Moderation - which attributes part of the stabilization to less volatile shocks and another part to more difficult inference on the part of Bayesian households attempting to learn the latent state of the economy.

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Trend Breaks, Long-Run Restrictions and the Contractionary Effects of Technology Improvements

JEL codes: 
E24, E32, O47
Version Date: 
Mar 2006
Abstract: 

Structural vector-autoregressions with long-run restrictions are extraordinarily sensitive to low-frequency correlations. This paper explores this sensitivity analytically and via simulations, focusing on the contentious issue of whether hours worked rise or fall when technology improves.

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What Caused the Early Millennium Slowdown? Evidence Based on Vector Autoregressions

JEL codes: 
C32, E32
Version Date: 
Sep 2003
Author/s: 
Abstract: 

This Paper uses a simple VAR for the industrialized world (aggregate of 17 countries), the US and the euro area to analyse the underlying shocks of the recent slowdown, i.e. supply, demand, monetary policy and oil price shocks. The results of two identification strategies are compared.

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