The Structural Dynamics of U.S. Output and Inflation: What Explains the Changes? |
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Authors: | LUCA GAMBETTI EVI PAPPA† FABIO CANOVA† |
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Institution: | Luca Gambetti;is Assistant Professor, Universitat Autonoma de Barcelona (E-mail:). Evi Pappa;is Associate Professor, Universitat Autonoma de Barcelona and CEPR (E-mail:). Fabio Canova;is Research Professor, ICREA-UPF, CREI, AMeN, and CEPR (E-mail:). |
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Abstract: | We examine the dynamics of U.S. output and inflation using a structural time-varying coefficients vector autoregression. There are changes in the volatility of both variables and in the persistence of inflation, but variations are statistically insignificant. Technology shocks explain changes in output volatility; real demand disturbances variations in the persistence and volatility of inflation. We detect important time variations in the transmission of technology shocks to output and demand shocks to inflation and significant changes in the variance of technology and of monetary policy shocks. |
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Keywords: | C11 E12 E32 E62 |
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