The Role of Permanent and Transitory Components in Business Cycle Volatility Moderation.

Research, Preprint OPEN
Stan Radchenko; Oleg Korenok;
(2004)
  • Publisher: New Brunswick, NJ: Rutgers University, Department of Economics
  • Subject: Dekompositionsverfahren | Konjunktur | volatility decline, great moderation, transitory shocks, asymmetry, factor models | volatility decline, volatility decline, transitory shocks, asymmetry, factor models | transitory shocks | asymmetry | great moderation | E3 | Vereinigte Staaten | C5 | Volatilität | volatility decline | factor models | Schock
    • jel: jel:E3 | jel:C5
      ddc: ddc:330

The paper examines the processes underlying economic fluctuations by investigating the volatility moderation of U.S. economy in the early 1980's. We decompose the volatility decline using a dynamic factor framework into a common stochastic trend, common transitory compo... View more
  • References (14)
    14 references, page 1 of 2

    5. Conditional on Ï, f¸tgtT=1, use the model SPM1 to draw the parameters Ài, i = 1; 2; 3; 4. The conditional densities are in Kim and Nelson (1999).

    6. Conditional on fS1tgtT=1, fS3tgtT=1, f¸tgtT=1, ¶0, ¶1, ¼ , 2»»u2u221 use the model SPM1 to draw the parameters ¾ and ¾£. The conditional densities are in Kim and Nelson (1999).

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