Canova, Fabio; Gambetti, Luca; Pappa, Evi - C.E.P.R. Discussion Papers - 2006
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 …