Great Moderation(s) and U.S. Interest Rates: Unconditional Evidence

Arbeitspapier

The US economy experienced a Great Moderation sometime in the mid-1980s -- a fall in the volatility of output growth -- at the same time as a fall in both the volatility of inflation and the average rate of inflation. We put this moderation in historical perspective by comparing it to the post-WWII moderation. According to theory, the statistical moments -- both real and nominal -- that shift during these moderations in turn influence interest rates. We examine the predictions for shifts in the unconditional average of US interest rates. A central finding is that such shifts probably were due to changes in average inflation rather than to those in the variances of inflation and consumption growth.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Queen's Economics Department Working Paper ; No. 1140

Classification and Topics

• Classification: Wirtschaft ; Business Fluctuations; Cycles ; Interest Rates: Determination, Term Structure, and Effects ; Economic History: Macroeconomics and Monetary Economics; Industrial Structure; Growth; Fluctuations: U.S.; Canada: 1913-
• Subject: great moderation ; asset pricing

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Nason, James M. ; Smith, Gregor W.
• Event: Veröffentlichung
• (who): Queen's University, Department of Economics
• (where): Kingston (Ontario)
• (when): 2007

Further information

• Handle: http://hdl.handle.net/10419/189416
• Last update: 10.03.2025, 11:43 AM CET