The Long and Large Decline in U.S. Output Volatility
The Long and Large Decline in U.S. Output Volatility
复制标题
DOI：
10.2139/ssrn.277356
复制
发表时间：
2001-04
影响因子：
5.9
通讯作者：
Olivier J. Blanchard;John Simon
中科院分区：
文献类型：
--
作者：
Olivier J. Blanchard;John Simon
美国最近两次经济扩张的时间异常之长。一种观点认为，这是运气的结果，是过去二十年没有出现重大不利冲击的结果。我们认为，还有更多因素在起作用，即产出波动性的大幅潜在下降。这种下降不是最近才出现的，而是一种稳定的趋势，在1950年代和1960年代就已经出现，在1970年代和1980年代初中断，在1980年代末和1990年代又恢复到趋势。在此期间，季度产出增长的标准差下降了3倍。这足以说明扩展长度的增加。我们得出另外两个结论。首先，这种趋势性下降可以追溯到一系列直接原因，从早期政府支出波动性的减少，到整个时期消费和投资波动性的减少，再到最近十年库存投资和销售之间相关性的符号变化。第二，产出波动和通货膨胀波动之间存在着密切的联系。这种联系是1970年代和1980年代初产出波动趋势下降中断的原因。
The last two U.S. expansions have been unusually long. One view is that this is the result of luck, of an absence of major adverse shocks over the last twenty years. We argue that more is at work, namely a large underlying decline in output volatility. This decline is not a recent development, but rather a steady one, visible already in the 1950s and the 1960s, interrupted in the 1970s and early 1980s, with a return to trend in the late 1980s and the 1990s. The standard deviation of quarterly output growth has declined by a factor of 3 over the period. This is more than enough to account for the increased length of expansions. We reach two other conclusions. First, the trend decrease can be traced to a number of proximate causes, from a decrease in the volatility in government spending early on, to a decrease in consumption and investment volatility throughout the period, to a change in the sign of the correlation between inventory investment and sales in the last decade. Second, there is a strong relation between movements in output volatility and inflation volatility. This association accounts for the interruption of the trend decline in output volatility in the 1970s and early 1980s.