We would like to thank four anonymous referees, the editor (Ken West), Tim Cogley, Tao Zha, Chris Sims, Eric Leeper, Domenico Giannone, Howard Petith, and the participants of seminars and conferences for comments and suggestions. Canova and Gambetti acknowledge the financial support of the Spanish Ministry of Education through Grant SEJ-2004-21682-E. Canova also acknowledges financial support from CREI.
The Structural Dynamics of U.S. Output and Inflation: What Explains the Changes?
Article first published online: 29 MAR 2008
©2008 The Ohio State University
Journal of Money, Credit and Banking
Volume 40, Issue 2-3, pages 369–388, March/April 2008
How to Cite
GAMBETTI, L., PAPPA, E. and CANOVA, F. (2008), The Structural Dynamics of U.S. Output and Inflation: What Explains the Changes?. Journal of Money, Credit and Banking, 40: 369–388. doi: 10.1111/j.1538-4616.2008.00117.x
- Issue published online: 29 MAR 2008
- Article first published online: 29 MAR 2008
- Received June 26, 2005; and accepted in revised form April 26, 2007.
- structural time-varying VARs
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.