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The structural dynamics of output growth and inflation: some international evidence

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  • Fabio Canova

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  • Luca Gambetti
  • Evi Pappa

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 Info

Paper provided by Department of Economics and Business, Universitat Pompeu Fabra in its series Economics Working Papers with number 971.

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Date of creation: Apr 2006
Date of revision: Aug 2006
Handle: RePEc:upf:upfgen:971

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Web page: http://www.econ.upf.edu/

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Keywords: Variability; Persistence; Transmission; Structural time varying VARs;

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