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What Explains The Great Moderation in the U.S.? A Structural Analysis

Fabio Canova ()

Journal of the European Economic Association, 2009, vol. 7, issue 4, 697-721

Abstract: This paper investigates what has caused output and inflation volatility to fall in the U.S. 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 variance 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. (JEL: E52, E47, C53) (c) 2009 by the European Economic Association.

JEL-codes: E52 E47 C53 (search for similar items in EconPapers)
Date: 2009
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Journal of the European Economic Association is currently edited by Xavier Vives, George-Marios Angeletos, Orazio P. Attanasio, Fabio Canova and Roberto Perotti

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