Evolving UK and US macroeconomic dynamics through the lens of a model of deterministic structural change

George Kapetanios and Anthony Yates ()

No 434, Bank of England working papers from Bank of England

Abstract: Using a model of deterministic structural change, we revisit several topics in inflation dynamics explored previously using stochastic, time-varying parameter models. We document significant reductions in inflation persistence and predictability. We estimate that changes in the volatility of shocks were decisive in accounting for the great moderations of the United States and the United Kingdom. We also show that the magnitude and the persistence of the response of inflation and output to monetary policy shocks has fallen in these two countries. These findings should be of interest in those seeking to resolve theoretical debates about the sources of apparent nominal and real frictions in the macroeconomy, and the causes of the Great Moderation.

JEL-codes: C10 C14 (search for similar items in EconPapers)
Pages: 63 pages
Date: 2011-07-28
New Economics Papers: this item is included in nep-cba and nep-mon
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Journal Article: Evolving UK and US macroeconomic dynamics through the lens of a model of deterministic structural change (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:boe:boeewp:0434

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