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The structural dynamics of US output and inflation: What explains the changes?
Gambetti, Luca; Pappa, Evi; Canova, Fabio
Universitat Pompeu Fabra. Departament d'Economia i Empresa
We examine the dynamics of US output and inflation using a structural time varyingcoefficient VAR. We show that there are changes in the volatility of both variables andin the persistence of inflation. Technology shocks explain changes in output volatility,while a combination of technology, demand and monetary shocks explain variations inthe 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 policyshocks. Hours and labor productivity always increase in response to technology shocks.
2006-03-01
Macroeconomics and International Economics
variability
persistence
transmission
structural time varying vars
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