Output Volatility in Australia

Bodman, Philip and Leeves, Gareth (2005). Output Volatility in Australia. In: Proceedings of the 34th Australian Conference of Economists. ACE05: 34th Australian Conference of Economists, Melbourne, Australia, (1-23). 26-28 September 2005.

Author Bodman, Philip
Leeves, Gareth
Title of paper Output Volatility in Australia
Conference name ACE05: 34th Australian Conference of Economists
Conference location Melbourne, Australia
Conference dates 26-28 September 2005
Proceedings title Proceedings of the 34th Australian Conference of Economists
Place of Publication Sydney, Australia
Publisher Economic Society of Australia
Publication Year 2005
Sub-type Fully published paper
ISBN 0734026080
Start page 1
End page 23
Total pages 23
Collection year 2005
Language eng
Formatted Abstract/Summary
A number of papers have documented a significant decline in real GDP volatility in several major OECD economies. Some authors have presented evidence to suggest that this is the outcome of a one-off structural break from a high to low volatility state whilst others have estimated regime switching models that indicate low volatility regime states have dominated in recent years. This paper provides a different perspective on volatility decline. Evidence isprovided of a smoother, longer term decline that would appear to be the result of many more general changes in the economy over time, rather than particular events, such as abrupt changes in inventory management methods, the floating of exchange rates or changes to the conduct of monetary policy. The paper also provides estimates of various GARCH models of real GDP growth to further examine shorter term volatility features of the economy associated with the business cycle. A linear trend term is maintained in all models of the conditional variance to account for the general long-term decline in volatility and evidence is provided of significant business cycle effects, including asymmetries that suggest recessions are times of higher output volatility than economic expansions.
Subjects E1
340208 Macroeconomics (incl. Monetary and Fiscal Theory)
720100 Macroeconomic Issues
Q-Index Code E1

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Created: Thu, 23 Aug 2007, 20:47:17 EST