Abstract

http://ssrn.com/abstract=1898067
 


 



Evolving UK and US Macroeconomic Dynamics Through the Lens of a Model of Deterministic Structural Change


George Kapetanios


University of London - Queen Mary College - Department of Economics

Anthony Yates


Bank of England - Monetary Analysis

July 28, 2011

Bank of England Working Paper No. 434

Abstract:     
Using a model of deterministic structural change, we revisit several topics in inflation dynamics explored previously using stochastic, time - varying parameter models. We document significant reductions in inflation persistence and predictability. We estimate that changes in the volatility of shocks were decisive in accounting for the great moderation's of the United States and the United Kingdom. We also show that the magnitude and the persistence of the response of inflation and output to monetary policy shocks has fallen in these two countries. These findings should be of interest in those seeking to resolve theoretical debates about the sources of apparent nominal and real frictions in the macroeconomy, and the causes of the Great Moderation.

Number of Pages in PDF File: 63

JEL Classification: C10,C14

working papers series


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Date posted: July 28, 2011  

Suggested Citation

Kapetanios, George and Yates, Anthony, Evolving UK and US Macroeconomic Dynamics Through the Lens of a Model of Deterministic Structural Change (July 28, 2011). Bank of England Working Paper No. 434. Available at SSRN: http://ssrn.com/abstract=1898067 or http://dx.doi.org/10.2139/ssrn.1898067

Contact Information

George Kapetanios
University of London - Queen Mary College - Department of Economics ( email )
Mile End Road
London, E1 4NS
United Kingdom
+44 20 7882 5097 (Phone)
HOME PAGE: http://www.qmul.ac.uk/%7Etew021/
Anthony Yates (Contact Author)
Bank of England - Monetary Analysis ( email )
Threadneedle Street
London EC2R 8AH
United Kingdom
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