Great moderations and U.S. interest rates
Subtitle: unconditional evidence
By: James M. Nason and Gregor W. Smith.
Contributors: Smith, Gregor W.; Federal Reserve Bank of Atlanta.
Series: Working paper series / Federal Reserve Bank of Atlanta -- 2008-1; Working paper series (Federal Reserve Bank of Atlanta : Online) -- 2008-1.
Publisher: Federal Reserve Bank of Atlanta
Published: 2008
Place of publication: [Atlanta, Ga.]
Language: eng
Format: Electronic resource
Description: "The Great Moderation refers to the fall in U.S.  output growth volatility in the mid-1980s.  At the same time, the United States experienced a moderation in inflation and lower average inflation.  Using annual data since 1890, we find that an earlier, 1946 moderation in output and consumption growth was comparable to that of 1984.  Using quarterly data since 1947, we also isolate the 1969-83 Great Inflation to refine the asset pricing implications of the moderations.  Asset pricing theory predicts that moderations-real or nominal-influence interest rates.  We examine the quantitative predictions of a consumption-based asset pricing model for shifts in the unconditional average of U.S.  interest rates.  A central finding is that such shifts probably were related to changes in average inflation rather than to moderations in inflation and consumption growth"--Federal Reserve Bank of Atlanta web site.
Notes: Title from PDF file as viewed on 1/24/2008.

Includes bibliographical references.

Also available in print.

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Mode of access: World Wide Web.