The Structural Dynamics of Output Growth and Inflation: Some International Evidence

Fabio Canova, Evi Pappa and Luca Gambetti

No 5878, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: We examine the dynamics of output growth and inflation in the US, Euro area and UK using a structural time varying coefficient VAR. There are important similarities in structural inflation dynamics across countries; output growth dynamics differ. Swings in the magnitude of inflation and output growth volatilities and persistences are accounted for by a combination of three structural shocks. Changes over time in the structure of the economy are limited and permanent variations largely absent. Changes in the volatilities of structural shocks matter.

Keywords: Variability; Persistence; Transmission; Structural time varying vars (search for similar items in EconPapers)
JEL-codes: C11 E12 E32 E62 (search for similar items in EconPapers)
Date: 2006-10
New Economics Papers: this item is included in nep-cba and nep-mac
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Citations: View citations in EconPapers (10)

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Journal Article: The Structural Dynamics of Output Growth and Inflation: Some International Evidence (2007)
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