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

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  • Canova, Fabio
  • Gambetti, Luca
  • Pappa, Evi

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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Paper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number 5878.

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Date of creation: Oct 2006
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Handle: RePEc:cpr:ceprdp:5878

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Keywords: persistence; structural time varying VARs; transmission; variability;

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