The Great Moderation and the Relationship between Output Growth and Its Volatility

This study examines the effect of the Great Moderation on the relationship between U.S. output growth and its volatility over the period 1947 to 2006. First, we consider the possible effects of structural change in the volatility process. In so doing, we employ GARCH-M and ARCH-M specifications of the process describing output growth rate and its volatility with and without a one-time structural break in volatility. Second, our data analyses and empirical results suggest no significant relationship between the output growth rate and its volatility, favoring the traditional wisdom of dichotomy in macroeconomics. Moreover, the evidence shows that the time-varying variance falls sharply or even disappears once we incorporate a one-time structural break in the unconditional variance of output starting 1982 or 1984. That is, the integrated GARCH effect proves spurious. Finally, a joint test of a trend change and a one-time shift in the volatility process finds that the one-time shift dominates.

Measuring Scale Efficiency from the Translog Multi-Input, Multi-Output Distance Function

Ray (1998) developed measures of input- and output-oriented scale efficiency that can be directly computed from an estimated Translog frontier production function. This note extends the earlier results from Ray (1998) to the multiple-output multiple input case.

Endogenous Financing and the Long Run Impact of Money Growth on Output and Prices

Most monetary models make use of the quantity theory of money along with a Phillips curve. This implies a strong correlation between money growth and output in the short run (with little or no correlation between money and prices) and a strong long run correlation between money growth and inflation and inflation (with little or no correlation between money growth and output). The empirical evidence between money and inflation is very robust, but the long run money/output relationship is ambiguous at best. This paper attempts to explain this by looking at the impact of money growth on firm financing.

Comparing Input- and Output-Oriented Measures of Technical Efficiency to Determine Local Returns to Scale in DEA Models

This paper shows how one can infer the nature of local returns to scale at the input- or output-oriented efficient projection of a technically inefficient input-output bundle, when the input- and output-oriented measures of efficiency differ.

The Relationship between Large Fiscal Adjustments and Short-Term Output Growth Under Alternative Fiscal Policy Regimes

A small, but growing, body of literature searches for evidence of non-Keynesian effects of fiscal contractions. That is, some evidence exists that large fiscal contractions stimulate short-run economic activity. Our paper continues this research effort by systematically examining the effects, if any, of unusual fiscal events - either non-Keynesian results within a Keynesian model or Keynesian results within a neoclassical model -- on short-run economic activity. We examine this issue within three separate models -- a St. Louis equation, a Hall-type consumption equation, and a growth accounting equation. Our empirical findings are mixed, and do not provide strong systematic support for the view that unusually large fiscal contractions/expansions reverse the effects of normal fiscal events. Moreover, we find only limited evidence that trigger points are empirically important.

Measuring Potential Output and Output Gap and Macroeconomic Policy: The Case of Kenya

Measuring the level of an economy.s potential output and output gap are essential in identifying a sustainable non-inflationary growth and assessing appropriate macroeconomic policies. The estimation of potential output helps to determine the pace of sustainable growth while output gap estimates provide a key benchmark against which to assess inflationary or disinflationary pressures suggesting when to tighten or ease monetary policies. These measures also help to provide a gauge in the determining the structural fiscal position of the government. This paper attempts to measure Kenya.s potential output and output gap using alternative statistical techniques and structural methods. Estimation of potential output and output gap using these techniques shows varied results. The estimated potential output growth using different methods gave a range of .2.9 to 2.4 percent for 2000 and a range of .0.8 to 4.6 for 2001. Although various methods produce varied results, they however provided a broad consensus on the over-all trend and performance of the Kenyan economy. This study found that firstly, potential output growth is declining over the recent time and secondly, the Kenyan economy is contracting in the recent years.

Inflation Targeting and Output Growth: Evidence from Aggregate European Data

This paper evaluates inflation targeting and assesses its merits by comparing alternative targets in a macroeconomic model. We use European aggregate data to evaluate the performance of alternative policy rules under alternative inflation targets in terms of output losses. We employ two major alternative policy rules, forward-looking and spontaneous adjustment, and three alternative inflation targets, zero percent, two percent, and four percent inflation rates. The simulation findings suggest that forward-looking rules contributed to macroeconomic stability and increase monetary policy credibility. The superiority of a positive inflation target, in terms of output losses, emerges for the aggregate data. The same methodology, when applied to individual countries, however, suggests that country-specific flexible inflation targeting can improve employment prospects in Europe.

Cross-Country Evidence on Output Growth Volatility: Nonstationary Variance and GARCH Models

This paper revisits the issue of conditional volatility in real GDP growth rates for Canada, Japan, the United Kingdom, and the United States. Previous studies find high persistence in the volatility. This paper shows that this finding largely reflects a nonstationary variance. Output growth in the four countries became noticeably less volatile over the past few decades. In this paper, we employ the modified ICSS algorithm to detect structural change in the unconditional variance of output growth. One structural break exists in each of the four countries. We then use generalized autoregressive conditional heteroskedasticity (GARCH) specifications modeling output growth and its volatility with and without the break in volatility. The evidence shows that the time-varying variance falls sharply in Canada, Japan, and the U.K. and disappears in the U.S., excess kurtosis vanishes in Canada, Japan, and the U.S. and drops substantially in the U.K., once we incorporate the break in the variance equation of output for the four countries. That is, the integrated GARCH (IGARCH) effect proves spurious and the GARCH model demonstrates misspecification, if researchers neglect a nonstationary unconditional variance.

Lagrangian back-tracing results for Kohnen station; output of time dependent numerical experiment with a 3D nested Antarctic ice sheet model

A nested ice flow model was developed for eastern Dronning Maud Land to assist with the dating and interpretation of the EDML deep ice core. The model consists of a high-resolution higher-order ice dynamic flow model that was nested into a comprehensive 3-D thermomechanical model of the whole Antarctic ice sheet. As the drill site is on a flank position the calculations specifically take into account the effects of horizontal advection as deeper ice in the core originated from higher inland. First the regional velocity field and ice sheet geometry is obtained from a forward experiment over the last 8 glacial cycles. The result is subsequently employed in a Lagrangian backtracing algorithm to provide particle paths back to their time and place of deposition. The procedure directly yields the depth-age distribution, surface conditions at particle origin, and a suite of relevant parameters such as initial annual layer thickness. This paper discusses the method and the main results of the experiment, including the ice core chronology, the non-climatic corrections needed to extract the climatic part of the signal, and the thinning function. The focus is on the upper 89% of the ice core (appr. 170 kyears) as the dating below that is increasingly less robust owing to the unknown value of the geothermal heat flux. It is found that the temperature biases resulting from variations of surface elevation are up to half of the magnitude of the climatic changes themselves.

Barnacle recurit density, biomass, and reproductive output measured in rocky intertidal habitats in Glasgow Head, on the Atlantic coast of Nova Scotia, Canada

Through a field experiment, we show that a predator has negative nonconsumptive effects (NCEs) on different life-history stages of the same prey species. Shortly before the recruitment season of the barnacle Semibalanus balanoides (May-June), we established experimental cages in rocky intertidal habitats in Nova Scotia, Canada. The cages were used to manipulate the presence and absence of dogwhelks, Nucella lapillus, the main predators of barnacles. At the centre of each cage, we installed a tile where barnacle pelagic larvae could settle and the resulting recruits grow. Mesh prevented caged dogwhelks from accessing the tiles, but allowed waterborne dogwhelk cues to reach the tiles. Results in May indicated that barnacle larvae settled preferentially on tiles from cages without dogwhelks. In November, at the end of the dogwhelk activity period and once the barnacle recruits had grown to adult size, barnacle body mass was lower in the presence of dogwhelks. This limitation may have resulted from a lower barnacle feeding activity with nearby dogwhelks, as found by a previous study. The observed larval and adult responses in barnacles are consistent with attempts to decrease predation risk. November data also indicated that dogwhelk cues limited barnacle reproductive output, a possible consequence of the limited growth of barnacles. Overall, this study suggests that a predator species might influence trait evolution in a prey species through NCEs on different life-history stages.

Model simulation output data (CCSM3) related to uplift of African topography and the intensification of upwelling in the Benguela region

The Benguela Current, located off the west coast of southern Africa, is tied to a highly productive upwelling system**1. Over the past 12 million years, the current has cooled, and upwelling has intensified**2, 3, 4. These changes have been variously linked to atmospheric and oceanic changes associated with the glaciation of Antarctica and global cooling**5, the closure of the Central American Seaway**1, 6 or the further restriction of the Indonesian Seaway**3. The upwelling intensification also occurred during a period of substantial uplift of the African continent**7, 8. Here we use a coupled ocean-atmosphere general circulation model to test the effect of African uplift on Benguela upwelling. In our simulations, uplift in the East African Rift system and in southern and southwestern Africa induces an intensification of coastal low-level winds, which leads to increased oceanic upwelling of cool subsurface waters. We compare the effect of African uplift with the simulated impact of the Central American Seaway closure9, Indonesian Throughflow restriction10 and Antarctic glaciation**11, and find that African uplift has at least an equally strong influence as each of the three other factors. We therefore conclude that African uplift was an important factor in driving the cooling and strengthening of the Benguela Current and coastal upwelling during the late Miocene and Pliocene epochs.