Gambetti, Luca, Pappa, Evi and Canova, Fabio (2005) The structural dynamics of US output and inflation : what explains the changes? In: Macroeconomics and Reality, 25 Years Later, 1-2 Apr 2005, Universitat Pompeu Fabra, Barcelona, Spain. (Unpublished)
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Abstract
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 labor productivity always increase in response to technology shocks.
| Item Type: | Conference or Workshop Item (Paper) |
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| Official URL: | http://pareto.uab.es/~evipappa/ |
| Additional Information: | Copyright © 2005 Luca Gambetti, Evi Pappa & Fabio Canova. |
| Uncontrolled Keywords: | Variability, persistence, transmission, structural time varying VARs. JEL classification codes : C11, E12, E32, E62 |
| Library of Congress subject classification: | H Social Sciences > HB Economic Theory |
| Sets: | Departments > Economics Collections > Economists Online |
| Rights: | http://www.lse.ac.uk/library/rights/LSERO.htm |
| URL: | http://eprints.lse.ac.uk/517/ |
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