What explains the Great Moderation in the US? A structural analysis

Fabio Canova

Economics Working Papers from Department of Economics and Business, Universitat Pompeu Fabra

Abstract: This paper investigates what has caused output and inflation volatility to fall in the US using a small scale structural model using Bayesian techniques and rolling samples. There are instabilities in the posterior of the parameters describing the private sector, the policy rule and the standard deviation of the shocks. Results are robust to the specification of the policy rule. Changes in the parameters describing the private sector are the largest, but those of the policy rule and the covariance matrix of the shocks explain the changes most.

Keywords: New Keynesian model; Bayesian methods; Monetary policy; Great Moderation (search for similar items in EconPapers)
JEL-codes: C53 E47 E52 (search for similar items in EconPapers)
Date: 2004-03, Revised 2007-12
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Related works:
Journal Article: What Explains The Great Moderation in the U.S.? A Structural Analysis (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:upf:upfgen:919

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