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Drifts and volatilities : monetary policies and outcomes in the post WWII US

Cogley, Timothy; Sargent, Thomas J. - 2003

Persistent link: https://www.econbiz.de/10001810899

Discussion of Cogley and Sargent's "Drifts and volatilities: monetary policies and outcomes in the post WWII US"

Del Negro, Marco - 2003

Persistent link: https://www.econbiz.de/10001810901

Discussion of Cogley and Sargent's 'Drifts and Volatilities : Monetary Policy and Outcomes in the Post WWII U.S.'

Del Negro, Marco - 2015

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...

Persistent link: https://www.econbiz.de/10013032855

Drifts and Volatilities : Monetary Policies and Outcomes in the Post WWII U.S

Cogley, Timothy - 2015

posteriors imply substantial variation of all of these objects for post WWII U.S. data. After adjusting for changes in volatility …

Persistent link: https://www.econbiz.de/10013032849

Is the US Phillips curve stable? : evidence from Bayesian vector autoregressions

Karlsson, Sune; Österholm, Pär - In: The Scandinavian journal of economics 125 (2023) 1, pp. 287-314

Persistent link: https://www.econbiz.de/10014303987

Modelling inflation volatility

Eisenstat, Eric; Strachan, Rodney W. - 2014

Persistent link: https://www.econbiz.de/10010348813

Modelling inflation volatility

Eisenstat, Eric; Strachan, Rodney W. - 2014

Persistent link: https://www.econbiz.de/10011341971

US post-war monetary policy : what caused the Great Moderation?

Minford, Patrick; Ou, Zhirong - 2010 - Updated November 2010

Acceleration and the Great Moderation. The implication is that changing variances of shocks caused the reduction of volatility …. Smaller Fed policy errors accounted for the fall in inflation volatility. Smaller supply shocks accounted for the fall in … output volatility and smaller demand shocks for lower interest rate volatility. The same model with differing Taylor rules of …

Persistent link: https://www.econbiz.de/10008757931

Would the Bundesbank Have Prevented the Great Inflation in the United States?

Benati, Luca - 2009

Policy counterfactuals based on estimated structural VARs routinely suggest that bringing Alan Greenspan back in the 1970s' United States would not have prevented the Great Inflation. We show that a standard policy counterfactual suggests that the Bundesbank – which is near-universally...

Persistent link: https://www.econbiz.de/10013153230

Drifts, volatilities, and impulse responses over the last century

Amir Ahmadi, Pooyan; Matthes, Christian; Wang, Mu-Chun - 2014

than you think.", respectively. We use vector autoregression with time-varying parameters and stochastic volatility to …

Persistent link: https://www.econbiz.de/10010489284