build a multivariate time series model with time-varying parameters and stochastic volatility that features measurement … impact of monetary policy shocks, but the majority of this variation is driven by changes in exogenous volatility. …

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

of the autocorrelation parameters of the exogenous shocks. Changes in the monetary or shock volatility regimes shift … policy and the volatility of the shocks. We use the estimates to investigate the mechanisms that lead to a decline in the … shocks, so lowers inflation persistence. Similarly, a shift to the low-volatility regime reduces the weight on the more …