Department of Economics and Business - Universitat Pompeu Fabra

Title:: The structural dynamics of US output and inflation: What explains the changes?
Authors:: Luca Gambetti, Evi Pappa and Fabio Canova
Date:: June 2005
Abstract:: We examine the dynamics of US output and inflation using a structural time varying coefficient VAR. We show that there are changes in the volatility of both variables and in the persistence of inflation. Technology shocks explain changes in output volatility, while a combination of technology, demand and monetary shocks explain variations in the persistence and volatility of inflation. We detect changes over time in the transmission of technology shocks and in the variance of technology and of monetary policy shocks. Hours and labor productivity always increase in response to technology shocks.
Keywords:: Variability, Persistence, Transmission, Structural time varying VARs
JEL codes:: C11, E12, E32, E62
Area of Research:: Macroeconomics and International Economics
Published in:: Journal of Money, Credit and Banking, 40(2-3), 2008, 369-388

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