The Structural Dynamics of Output Growth and Inflation: Some International Evidence
Fabio Canova (),
Luca Gambetti () and
Evi Pappa ()
No 5878, CEPR Discussion Papers from C.E.P.R. Discussion Papers
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: persistence; structural time varying VARs; transmission; variability (search for similar items in EconPapers)
JEL-codes: C11 E12 E32 E62 (search for similar items in EconPapers)
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Journal Article: The Structural Dynamics of Output Growth and Inflation: Some International Evidence (2007)
Working Paper: The structural dynamics of output growth and inflation: some international evidence (2006)
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