The Less-Volatile U.S. Economy: A Bayesian Investigation of Timing, Breadth, and Potential Explanations

Chang Jin Kim, Charles R. Nelson, Jeremy Piger

Research output: Contribution to journalArticlepeer-review

85 Citations (Scopus)


Using a Bayesian model comparison strategy, we search for a volatility reduction in U.S. real gross domestic product (GDP) growth within the postwar sample. We find that aggregate real GDP growth has been less volatile since the early 1980s, and that this volatility reduction is concentrated in the cyclical component of real GDP. Sales and production growth in many of the components of real GDP display similar reductions in volatility, suggesting the aggregate volatility reduction does not have a narrow source. We also document structural breaks in inflation dynamics that occurred over a similar time frame as the GDP volatility reduction.

Original languageEnglish
Pages (from-to)80-93
Number of pages14
JournalJournal of Business and Economic Statistics
Issue number1
Publication statusPublished - 2004 Jan

Bibliographical note

Funding Information:
Chang-Jin Kim and Charles R. Nelson acknowledge support from National Science Foundation grant SES-9818789, Kim acknowledges support from a Korea University special grant, and Jeremy Piger acknowledges support from the Grover and Creta Ensley Fellowship in Economic Policy at the University of Wainsgtohn. The authors thank without implicating Mark Gertle, AnrdrweLevin, James Morl, thee edyitor, associate editor, an anonymousreferee, and seminar participantsat the Johns


  • Bayes factor
  • Business cycle
  • Stabilization
  • Structural break

ASJC Scopus subject areas

  • Statistics and Probability
  • Social Sciences (miscellaneous)
  • Economics and Econometrics
  • Statistics, Probability and Uncertainty


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