Template-Type: ReDIF-Paper 1.0
Author-Name: van Dijk, D.J.C.
Author-Name-Last: van Dijk
Author-Name-First: Dick
Author-Person: pva27
Author-Name: Osborn, D.R.
Author-Name-Last: Osborn
Author-Name-First: Denise
Author-Name: Sensier, M.
Author-Name-Last: Sensier
Author-Name-First: Marianne
Title: Changes in variability of the business cycle in the G7 countries
Abstract: Volatility breaks are tested and documented for 19 important monthly macroeconomic time series across the G7 countries. Across all conditional mean specifications considered, including both linear and nonlinear models with and without a structural break, volatility breaks are found to be widespread. This continues to hold when business cycle nonlinearities are allowed in the variance. Multiple volatility breaks are also examined, and these are found to be especially prevalent for short-term interest rates. Volatility breaks in industrial production and consumer prices are largely synchronous across the G7. The facts established are discussed in the context of some explanations put forward in the literature to explain volatility breaks previously found for US series.
Creation-Date: 2002-09-19
File-URL: https://repub.eur.nl/pub/551/feweco20020919164617.pdf
File-Format: application/pdf
Series: RePEc:ems:eureir
Number: EI 2002-28
Keywords: Business cycle nonlinearity, Growth, Structural change tests, Volatility
Handle: RePEc:ems:eureir:551