WHAT EXPLAINS THE GREAT MODERATION IN THE US? A STRUCTURAL ANALYSIS

• 成果类型: Article
• 署名作者: Canova, Fabio
• 署名单位: Pompeu Fabra University
• 刊物名称: JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION
• ISSN/ISSBN: 1542-4766
• DOI: 10.1162/JEEA.2009.7.4.697
• 发表日期: 2009
• 页码: 697-721
• 关键词: monetary-policy; inflation; output

摘要

This paper investigates what has caused output and inflation volatility to fall in the U. S. using a small scale structural model using Bayesian techniques and rolling samples. There are instabilities in the posterior of the parameters describing the private sector, the policy rule, and the variance of the shocks. Results are robust to the specification of the policy rule. Changes in the parameters describing the private sector are the largest, but those of the policy rule and the covariance matrix of the shocks explain the changes most. (JEL: E52, E47, C53)