Department of Economics and Business - Universitat Pompeu Fabra

Title:: The structural dynamics of output growth and inflation: some international evidence
Authors:: Fabio Canova, Luca Gambetti and Evi Pappa
Date:: April 2006 (Revised: August 2006)
Abstract:: We examine the dynamics of output growth and inflation in the US, Euro area and UK using a structural time varying coefficient VAR. There are important similarities in structural inflation dynamics across countries; output growth dynamics differ. Swings in the magnitude of inflation and output growth volatilities and persistences are accounted for by a combination of three structural shocks. Changes over time in the structure of the economy are limited and permanent variations largely absent. Changes in the volatilities of structural shocks matter.
Keywords:: Variability, Persistence, Transmission, Structural time varying VARs
JEL codes:: C11, E12, E32, E62
Area of Research:: Macroeconomics and International Economics
Published in:: The Economic Journal
With the title:
117(519), 2007, C167-C191

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