What explains the Great Moderation in the US? A structural analysis
Fabio Canova ()
Economics Working Papers from Department of Economics and Business, Universitat Pompeu Fabra
This paper investigates what has caused output and inflation volatility to fall in the US 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 standard deviation 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.
Keywords: New Keynesian model; Bayesian methods; Monetary policy; Great Moderation (search for similar items in EconPapers)
JEL-codes: E52 E47 C53 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
Date: 2004-03, Revised 2007-12
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Journal Article: What Explains The Great Moderation in the U.S.? A Structural Analysis (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:upf:upfgen:919
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