10.18452/4348
Chen, Wenjuan
On the Continuation of the Great Moderation
New evidence from G7 Countries
Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
2011
Output Fluctuations
Financial crisis
Regime switching
330 Wirtschaft
Humboldt-Universität zu Berlin
Humboldt-Universität zu Berlin
2017-06-16
2017-06-16
2011-10-05
2011-09-30
2011-09-30
en
1860-5664
http://edoc.hu-berlin.de/18452/5000
urn:nbn:de:kobv:11-100194062
2195055-6
This paper employs a Markov regime-switching approach to investigate whether the Great Moderation is over since the start of the late 2000s recession. The results con rm that the recent nancial crisis did cause a simultaneous high-volatility period among the G7 countries. However, the nancial crisis may not mark the end of the Great Moderation. There is strong evidence that each G7 country has again returned to the low-variance state since 2009 or the beginning of 2010.