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

Author(s): Fabio Canova, Luca Gambetti and Evi Pappa

Publication Date: October 2006

Keyword(s): persistence, structural time varying VARs, transmission and variability

Programme Area(s): International Macroeconomics

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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Bibliographic Reference

Canova, F, Gambetti, L and Pappa, E. 2006. 'The Structural Dynamics of Output Growth and Inflation: Some International Evidence'. London, Centre for Economic Policy Research. https://cepr.org/active/publications/discussion_papers/dp.php?dpno=5878