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Title:
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The structural dynamics of US output and inflation: what explains the changes?
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Author:
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Gambetti, Luca; Pappa, Evi; Canova, Fabio
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Other authors:
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Universitat Pompeu Fabra. Departament d'Economia i Empresa |
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Abstract:
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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. |
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Publication date:
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2006-03-01 |
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Subject(s):
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Variability, Persistence, Transmission, Structural time varying VARs |
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Rights:
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Aquest document està subjecte a una llicència d'ús de Creative Commons, amb la qual es permet copiar, distribuir i comunicar públicament l'obra sempre que se'n citin l'autor original, la universitat i el departament i no se'n faci cap ús comercial ni obra derivada, tal com queda estipulat en la llicència d'ús (http://creativecommons.org/licenses/by-nc-nd/2.5/es/) |
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Document type:
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Working Paper |
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