The Structural Dynamics of US Output and Inflation: What Explains the Changes?
Fabio Canova (),
Luca Gambetti () and
Evi Pappa ()
No 5879, CEPR Discussion Papers from C.E.P.R. Discussion Papers
We examine the dynamics of US output and inflation using a structural time varying coefficient VAR. We show that there are changes in the volatility of both variables and in the persistence of inflation. Technology shocks explain changes in output volatility, while a combination of technology, demand and monetary shocks explain variations in the persistence and volatility of inflation. We detect changes over time in the transmission of technology shocks and in the variance of technology and of monetary policy shocks. Hours and labour productivity always increase in response to technology shocks.
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)
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
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Journal Article: The Structural Dynamics of U.S. Output and Inflation: What Explains the Changes? (2008)
Working Paper: The structural dynamics of US output and inflation: What explains the changes? (2005)
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