Why did the volatility of U.S. real GDP decline by more than the volatility of final sales with the Great Moderation in … production smoothing. Instead, smaller transitory inventory shocks are responsible for the excess volatility reduction in output …

We propose an unobserved components model with stochastic volatility and structural shocks to explore the relevant … factors that influence trend inflation in the USA. Using structural shocks that incorporate a broad set of information for the … US economy, we find that four structural shocks have significant effects on trend inflation: productivity, price mark …

processes. The first looks for common volatility clusters using individual GARCH models to detect whether and when respective …. Evidence emerging about these shock generating processes is linked to the analogous behaviour of the US Consumer Price Index … (CPI) to assess to what extent inflation shocks can be associated to the observed commodity price spikes. Results show that …