IDEAS home Printed from
   My bibliography  Save this paper

Discussion of Cogley and Sargent's "Drifts and volatilities: Monetary policies and outcomes in the post WWII U.S."


  • Marco Del Negro


Cogley and Sargent provide us with a very useful tool for empirical macroeconomics: a Gibbs sampler for the estimation of VARs with drifting coefficients and volatilities. The authors apply the tool to a VAR with three variables-inflation, unemployment, and the nominal interest rate-and two lags. This tool is a serious competitor to the identified-VAR-cum-Markov-switching technology recently developed by Sims (1999) and Sims and Zha (2002) for the study of economies that are subject to regime changes. However, the Gibbs sampler suffers from a curse of dimensionality: as more variables or more lags are added to the system, the computational burden of the estimation quickly grows out of proportion. My suggestions here are mainly aimed at making the tool more flexible, and hence more widely applicable.

Suggested Citation

  • Marco Del Negro, 2003. "Discussion of Cogley and Sargent's "Drifts and volatilities: Monetary policies and outcomes in the post WWII U.S."," FRB Atlanta Working Paper 2003-26, Federal Reserve Bank of Atlanta.
  • Handle: RePEc:fip:fedawp:2003-26

    Download full text from publisher

    File URL:
    Download Restriction: no

    References listed on IDEAS

    1. Thomas Doan & Robert B. Litterman & Christopher A. Sims, 1983. "Forecasting and Conditional Projection Using Realistic Prior Distributions," NBER Working Papers 1202, National Bureau of Economic Research, Inc.
    2. Sims, Christopher A. & Zha, Tao, 2006. "Does Monetary Policy Generate Recessions?," Macroeconomic Dynamics, Cambridge University Press, vol. 10(02), pages 231-272, April.
    3. Neil Shephard, 2005. "Stochastic Volatility," Economics Papers 2005-W17, Economics Group, Nuffield College, University of Oxford.
    4. Christopher A. Sims & Tao Zha, 2002. "Macroeconomic switching," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
    Full references (including those not matched with items on IDEAS)


    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.

    Cited by:

    1. Haroon Mumtaz & Paolo Surico, 2009. "Time-varying yield curve dynamics and monetary policy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(6), pages 895-913.
    2. Haroon Mumtaz & Laura Sunder‐Plassmann, 2013. "Time‐Varying Dynamics Of The Real Exchange Rate: An Empirical Analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(3), pages 498-525, April.
    3. repec:voj:journl:v:63:y:2016:i:5:p:563-579 is not listed on IDEAS
    4. Ellis W. Tallman, 2003. "Monetary policy and learning: Some implications for policy and research," Economic Review, Federal Reserve Bank of Atlanta, issue Q3, pages 1-9.
    5. Todd E. Clark & Troy A. Davig, 2008. "An empirical assessment of the relationships among inflation and short- and long-term expectations," Research Working Paper RWP 08-05, Federal Reserve Bank of Kansas City.

    More about this item


    Equilibrium (Economics) ; Monetary policy ; Macroeconomics ; Inflation (Finance) ; Forecasting;

    NEP fields

    This paper has been announced in the following NEP Reports:


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fip:fedawp:2003-26. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Elaine Clokey). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.