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