Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/189416 
Year of Publication: 
2007
Series/Report no.: 
Queen's Economics Department Working Paper No. 1140
Publisher: 
Queen's University, Department of Economics, Kingston (Ontario)
Abstract: 
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.
Subjects: 
great moderation
asset pricing
JEL: 
E32
E43
N12
Document Type: 
Working Paper

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