The Structural Dynamics of Output Growth and Inflation: Some International Evidence
Universitat Pompeu Fabra - Department of Economics and Business (DEB); University of Southampton - Division of Economics; Centre for Economic Policy Research (CEPR)
Universitat Pompeu Fabra - Department of Economics and Business (DEB)
London School of Economics & Political Science (LSE); Autonomous University of Barcelona - Department of Economics and Economic History
CEPR Discussion Paper No. 5878
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.
Number of Pages in PDF File: 36
Keywords: Variability, persistence, transmission, structural time varying VARs
JEL Classification: C11, E12, E32, E62working papers series
Date posted: December 27, 2006
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