Discussion paper

DP5878 The Structural Dynamics of Output Growth and Inflation: Some International Evidence

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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Citation

Canova, F, E Pappa and L Gambetti (eds) (2006), “DP5878 The Structural Dynamics of Output Growth and Inflation: Some International Evidence”, CEPR Press Discussion Paper No. 5878. https://cepr.org/publications/dp5878