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Report
Output fluctuations in the United States: what has changed since the early 1980s?
In this paper, we document a structural break in the volatility of U.S. GDP growth in the first quarter of 1984 and provide evidence that this break emanates from a reduction in the volatility of durable goods production. Further, the reduction in durables volatility corresponds to a decline in the share of durable goods accounted for by inventories. We find no evidence of increased stability in the nondurables, services or structures sectors of the economy. Our evidence is compatible with a scenario in which changes in inventory management techniques in the durable goods sector have reduced ...
Report
Output fluctuations in the United States: what has changed since the early 1980s?
We document a structural break in the volatility of U.S. GDP growth in the first quarter of 1984, and provide evidence that this break emanates from a reduction in the volatility of durable goods production. We find no evidence of increased stability in the nondurables, services or structures sectors of the economy. In addition, no other G7 country experienced a contemporaneous reduction in output volatility. Finally, we show that the reduction in durables volatility corresponds to a decline in the share of durable goods accounted for by inventories
Conference Paper
Output fluctuations in the United States: what has changed since the early 1980s?
We document a structural decline in the volatility of real U.S. GDP growth in the first quarter of 1984. As a means of understanding the dramatic volatility reduction, we decompose output growth by major product type and provide evidence that the break emanates from a reduction in the volatility of durable goods production. We further show that the break in durables is roughly coincident with a break in the proportion of durables accounted for by inventories. We note that the break in output volatility affects the implementation of a wide range of simulation and econometric techniques and ...
Journal Article
A decomposition of the increased stability of GDP growth
Since 1984, the U.S. economy has grown at a remarkably steady pace. An analysis of this increased stability shows that every major component of GDP has exhibited smoother growth. However, two components--inventory investment and consumer spending--are responsible for the bulk of the decline in overall volatility.
Journal Article
On the causes of the increased stability of the U.S. economy
Paper for a conference sponsored by the Federal Reserve Bank of New York entitled Financial Innovation and Monetary Transmission
Briefing
Introducing the Credit Market Sentiment Index
In a forthcoming paper, we develop a new signal-extraction statistical model to estimate a factor summarizing conditions in U.S. credit markets. The factor provides a real-time gauge of "sentiment" in credit markets, above and beyond that attributable to contemporaneous economic conditions. Fluctuations in the credit market sentiment factor are associated with strong asymmetric and nonlinear effects on economic activity, depending not only on the magnitude and sign of a credit market sentiment shock but also on the current economic conditions.