The structural dynamics of U.S. output and inflation: What explains the changes?

Luca Gambetti, Evi Pappa, Fabio Canova

Research output: Contribution to journalArticleResearchpeer-review

51 Citations (Scopus)

Abstract

We examine the dynamics of U.S. output and inflation using a structural time-varying coefficients vector autoregression. There are changes in the volatility of both variables and in the persistence of inflation, but variations are statistically insignificant. Technology shocks explain changes in output volatility; real demand disturbances variations in the persistence and volatility of inflation. We detect important time variations in the transmission of technology shocks to output and demand shocks to inflation and significant changes in the variance of technology and of monetary policy shocks. © 2008 The Ohio State University.
Original languageEnglish
Pages (from-to)369-388
JournalJournal of Money, Credit and Banking
Volume40
Issue number2-3
DOIs
Publication statusPublished - 1 Mar 2008

Keywords

  • Persistence
  • Structural time-varying VARs
  • Transmission
  • Variability

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