Epstein-Zin preferences to study the volatility implications of a monetary policy shock. An unexpected increases in the policy … rate by 150 basis points causes output and inflation volatility to rise around 10% above their steady-state standard … deviations. VAR based empirical results support the model implications that contractionary shocks increase volatility. The …

In this paper, we estimate trend inflation in Sweden using an unobserved components stochastic volatility model. Using … data from 1995Q4 to 2021Q4 and Bayesian estimation methods, we find that trend inflation has been well-anchored during the …

inflation and inflation volatility. Using annual data from 1970 to 2011 for a large panel of 180 developed and developing … economies, the results show that, as expected, both measures are positively correlated with output volatility. When the two … empirical findings show that the effect of inflation volatility is positive, while the effect of trend inflation is negative …

into the determinants of business cycles before and during the Great Moderation. Via Bayesian estimation we determine the … and they explain the volatility of many variables. We reject the hypothesis of better inventory management and improved …