The Structural Dynamics of Output Growth and Inflation: Some International Evidence

Fabio Canova · Luca Gambetti Z · Evi Pappa

90 citations0/0 files storedThe Economic Journal

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Monetary Policy and Economic Impact Market Dynamics and Volatility Unemployment and Economic Growth

Abstract

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.

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References

1996Impulse response analysis in nonlinear multivariate models 2000Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*2005Time Varying Structural Vector Autoregressions and Monetary Policy 1991Equilibria under ‘active’ and ‘passive’ monetary and fiscal policies 2005Drifts and volatilities: monetary policies and outcomes in the post WWII US n.d.Output Fluctuations in the United States: What Has Changed since the Early 1980's?2006Were There Regime Switches in U.S. Monetary Policy?2001The Long and Large Decline in U.S. Output Volatility

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