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The structural dynamics of output growth and inflation: some international evidence;
117(519), 2007, C167-C191
Canova, Fabio; Gambetti, Luca; Pappa, Evi
Universitat Pompeu Fabra. Departament d'Economia i Empresa
We examine the dynamics of output growth and inflation in the US, Euro area and UK using a structural time varying coefficient VAR. There are important similarities in structural inflation dynamics across countries; output growth dynamics differ. Swings in the magnitude of inflation and output growth volatilities and persistences are accounted for by a combination of three structural shocks. Changes over time in the structure of the economy are limited and permanent variations largely absent. Changes in the volatilities of structural shocks matter.
2007-01-15
Macroeconomics and International Economics
variability
persistence
transmission
structural time varying vars
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