Short-term volatility versus long-term growth: evidence in US macroeconomic time series

We test for a change in the volatility of 215 US macroeconomic time series over the period 1960-1996. We find that about 90\\% of these series have experienced a break in volatility during this period. This result is robust to controlling for instability in the mean and business cycle nonlinearities. Real variables have seen a reduction in volatility since the early 1980s, which is accompanied by lower but steadier output growth. Furthermore, nominal variables have seentemporary increases in their volatility around the early 1980s. This suggests the existence of a trade-off between short-term volatility and the long-term pattern of growth.growth;Volatility;Business cycle nonlinearity;Structural change tests

Changes in variability of the business cycle in the G7 countries

Volatility breaks are tested and documented for 19 important monthlymacroeconomic time series across the G7 countries. Across all conditional meanspecifications considered, including both linear and nonlinear models with andwithout a structural break, volatility breaks are found to be widespread. Thiscontinues to hold when business cycle nonlinearities are allowed in thevariance. Multiple volatility breaks are also examined, and these are found tobe especially prevalent for short-term interest rates. Volatility breaks inindustrial production and consumer prices are largely synchronous across theG7. The facts established are discussed in the context of some explanationsput forward in the literature to explain volatility breaks previously foundfor US series.Volatility;Growth;Business cycle nonlinearity;Structural change tests

Testing for causality in variance in the presence of breaks

We examine the size properties of tests for causality in variance in thepresence of structural breaks in volatility. Extensive Monte Carlo simulationsdemonstrate that these tests suffer from severe size distortions when suchbreaks are not taken into account. Pre-testing the series for structuralchanges in volatility is shown to largely remedy the problem.structural change;causality tests;volatitilty

Short-term volatility versus long-term growth: evidence in US macroeconomic time series

We test for a change in the volatility of 215 US macroeconomic time series over the period 1960-1996. We find that about 90\\% of these series have experienced a break in volatility during this period. This result is robust to controlling for instability in the mean and business cycle nonlinearities. Real variables have seen a reduction in volatility since the early 1980s, which is accompanied by lower but steadier output growth. Furthermore, nominal variables have seen temporary increases in their volatility around the early 1980s. This suggests the existence of a trade-off between short-term volatility and the long-term pattern of growth

Testing for causality in variance in the presence of breaks

We examine the size properties of tests for causality in variance in the presence of structural breaks in volatility. Extensive Monte Carlo simulations demonstrate that these tests suffer from severe size distortions when such breaks are not taken into account. Pre-testing the series for structural changes in volatility is shown to largely remedy the problem

Changes in variability of the business cycle in the G7 countries

Volatility breaks are tested and documented for 19 important monthly macroeconomic time series across the G7 countries. Across all conditional mean specifications considered, including both linear and nonlinear models with and without a structural break, volatility breaks are found to be widespread. This continues to hold when business cycle nonlinearities are allowed in the variance. Multiple volatility breaks are also examined, and these are found to be especially prevalent for short-term interest rates. Volatility breaks in industrial production and consumer prices are largely synchronous across the G7. The facts established are discussed in the context of some explanations put forward in the literature to explain volatility breaks previously found for US series

Break in the Mean and Persistence of Inflation: A Sectoral Analysis of French CPI

This paper uses disaggregated CPI time series to show that a break in the mean of French inflation occurred in the mid-eighties and that the 1983 monetary policy shift mostly accounted for it. CPI average yearly growth declined from nearly 11% before the break date (May 1985) to 2.1% after. No other break in the 1973-2004 sample period can be found. Controlling for this mean break, both aggregate and sectoral inflation persistence are stable and low, with the unit root lying far in the tail of the persistence estimates. However, persistence differs dramatically across sectors. Finally, the duration between two price changes (at the firm level) appears positively related with inflation persistence (at the aggregate level)

A New Approach to Analyzing Convergence and Synchronicity in Growth and Business Cycles: Cross Recurrence Plots and Quantification Analysis

Convergence and synchronisation of business and growth cycles are important issues in the efficient formulation of euro area economic policies, and in particular European Central Bank (ECB) monetary policy. Although several studies in the economics literature address the issue of synchronicity of growth within the euro area, this is the first to address the issue using cross recurrence analysis. The main findings are that member state growth rates had largely converged before the introduction of the euro, but there is a wide degree of different synchronisation behaviours which appear to be non-linear in nature. Many of the euro area member states display what is termed here intermittency in synchronization, although this is not consistent across countries or members of the euro area. These differences in synchronization behaviors could introduce further challenges in managing the country-specific effects of the common monetary policy in the euro area

The role of innovation and agglomeration for employment growth in the environmental sector

The environmental sector is supposed to yield a dual benefit: its goods and services are intended to help to tackle environmental challenges and its establishments should create new jobs. However, it is still unclear in empirical terms whether that really is the case. This paper investigates whether employment growth in 'green' establishments with 'green' products and services is higher compared to other establishments. Furthermore, the main factors determining labor demand in this field are analyzed. We use linked employment and regional data for Germany. The descriptive results show that the environmental sector is characterized by disproportionately high employment growth. The application of both a generalized linear mixed model and an instrumental variables regression reveals that especially innovation and industry agglomeration foster employment growth in establishments in the environmental sector. Establishments without green products and services show a smaller increase in employment, even if they are also innovative.Der Umweltschutzsektor verspricht einen doppelten Nutzen: seine Güter und Dienstleistungen sollen dazu beitragen, die ökologischen Herausforderungen zu bewältigen und gleichzeitig sollen dadurch neue Arbeitsplätze geschaffen werden. Ob dies wirklich der Fall ist, ist bislang jedoch nicht nachgewiesen. In unserem Artikel untersuchen wir zum einen, ob das Beschäftigungswachstum in "grünen" Betrieben tatsächlich höher ist als in anderen Betrieben. Zum anderen analysieren wir die Determinanten der Arbeitskräftenachfrage im Umweltschutzsektor. Wir verwenden verknüpfte Beschäftigten- und Regionaldaten für Deutschland. Unsere deskriptiven Ergebnisse zeigen, dass der Umweltschutzsektor durch ein überproportionales Beschäftigungswachstum gekennzeichnet ist. Unsere ökonometrische Analyse auf der Basis eines verallgemeinerten linearen gemischten Modells und einer Instrumentenschätzung zeigt, dass insbesondere Innovationen und Agglomerationseffekte das Beschäftigungswachstum in Umweltschutzbetrieben fördern. Betriebe ohne Umweltprodukte oder -dienstleistungen weisen dagegen ein geringeres Beschäftigungswachstum auf, selbst wenn es sich um innovative Betriebe handelt