2005
DOI: 10.1016/j.red.2004.10.009
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Drifts and volatilities: monetary policies and outcomes in the post WWII US

Abstract: Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in… Show more

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Cited by 1,570 publications
(1,087 citation statements)
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“…Branch et al, 2006). However, recent studies by Cogley and Sargent (2005a) and Sims and Zha (2006) present evidence that drifting and regime switching inflation and output volatility is a characteristic of the post-war period. Since the Great Moderation consists of a one-time simultaneous decline in volatility, and its timing coexists with changes in Federal Reserve policy, it seems natural to seek policy explanations of this particular event.…”
Section: Introductionmentioning
confidence: 97%
“…Branch et al, 2006). However, recent studies by Cogley and Sargent (2005a) and Sims and Zha (2006) present evidence that drifting and regime switching inflation and output volatility is a characteristic of the post-war period. Since the Great Moderation consists of a one-time simultaneous decline in volatility, and its timing coexists with changes in Federal Reserve policy, it seems natural to seek policy explanations of this particular event.…”
Section: Introductionmentioning
confidence: 97%
“…A forecast uncertainty measure which takes into account information on several variables is obtained from a vector autoregression with timevarying parameters (TV-VAR). It is similar to the model of inflation in Cogley and Sargent (2005) which extends the model in Cogley and Sargent (2001) by including stochastic volatility.…”
Section: Comparison With Tv-var Modelsmentioning
confidence: 91%
“…However, the basic model used here allows to capture structural shifts in the economy (cf. Cogley and Sargent (2001)). In summary, I estimate a model of inflation, assume that the estimated parameters are true parameters and measure inflation uncertainty as the width of the central 90% forecast interval for…”
Section: Inflation Forecasting and Inflation Uncertaintymentioning
confidence: 99%
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