Joint research unit 7235

Does the Great Recession imply the end of the Great Moderation? International evidence

Amélie Charles, Olivier Darné, Laurent Ferrara

After years of low macroeconomic volatility since the early eighties, well documented and referred to as the Great Moderation period in the literature, the 2008-2009 worldwide recession adversely impacted output levels in most of advanced countries. This Great Recession period was characterized by a sharp apparent increase in output volatility. In this paper we evaluate whether this sudden event is likely to be temporary. Whether or not this new volatility regime is likely to persist would have strong macroeconomic effects, especially on business cycles. Based on break detection methods applied to a set of advanced countries, our empirical results do not give evidence to the end of the Great Moderation period but rather that the Great Recession is characterized by a dramatic temporary effect on the output growth but not on its volatility. In addition, we show that neglecting those breaks both in mean and in variance can have large effects on output volatility modelling. Last we empirically show that observed breaks during the Great Recession are to some extent related to uncertainty measures.

AGENDA

Monday 27 June 2022

Law, Institutions and Economics in Nanterre (LIEN)

Miriam Buiten (St Gallen Univ)

En distanciel à 11H30

From intermediaries to moderators of the internet: Should online platforms be liable?

Monday 27 June 2022

Law, Institutions and Economics in Nanterre (LINK)

Miriam Buiten (St Gallen Univ)

En distanciel à 11H30

From intermediaries to moderators of the internet: Should online platforms be liable?

Thursday 30 June 2022

Doctorants

Zoltán Szücs | Gagnie Pascal Yebarth

Salle 401-402

Le rôle de la police municipale dans la satisfaction des attentes de la population parisienne en termes de tranquillité publique | Politiques publiques et externalités dans les jeux stratégiques de marché

Thursday 30 June 2022

PhD students

Zoltán Szücs | Gagnie Pascal Yebarth

Salle 401-402

Le rôle de la police municipale dans la satisfaction des attentes de la population parisienne en termes de tranquillité publique | Politiques publiques et externalités dans les jeux stratégiques de marché

Friday 1 July 2022

Colloques et Workshops

9th Workshop on Economic Analysis of Litigation

Friday 1 July 2022

Colloques et Workshops

9th Workshop on Economic Analysis of Litigation

Monday 4 July 2022

Colloques et Workshops

Joint Webinar on Environment and Health in Seaport Cities

Monday 4 July 2022

Colloques et Workshops

Webinar conjoint sur l’environnement et la santé dans les villes maritimes

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