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The Structural Dynamics of U.S. Output and Inflation: What Explains the Changes?

Luca Gambetti (), Evi Pappa () and Fabio Canova ()

Journal of Money, Credit and Banking, 2008, vol. 40, issue 2-3, 369-388

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. Copyright (c)2008 The Ohio State University.

Date: 2008
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Working Paper: The Structural Dynamics of US Output and Inflation: What Explains the Changes? (2006) Downloads
Working Paper: The structural dynamics of US output and inflation: What explains the changes? (2005) Downloads
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