Testing for volatility changes in U.S. macroeconomic time series

Marianne Sensier, Dick Van Dijk

Research output: Contribution to journalArticlepeer-review


We test for a change in the volatility of 214 U.S. macroeconomic time series over the period 1959-1999. We find that approximately 80% of these series have experienced a break in unconditional volatility during this period. Even though more than half of the series experienced a break in conditional mean, most of the reduction in volatility appears to be due to changes in conditional volatility. Our results are robust to controlling for business cycle nonlinearity in both mean and variance. Volatility changes are more appropriately characterized as instantaneous breaks than as gradual changes. Nominal variables such as inflation and interest rates experienced multiple volatility breaks and witnessed temporary increases in volatility during the 1970s. On this evidence, we conclude that the increased stability of economic fluctuations is widespread.
Original languageEnglish
Pages (from-to)833-839
Number of pages6
JournalReview of Economics and Statistics
Issue number3
Publication statusPublished - Aug 2004


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