Structural changes in the US economy: Is there a role for monetary policy?

By Fabio Canova, Luca Gambetti. 2009

245 citations recorded by the source corpus.

This paper investigates the contribution of monetary policy to the changes in output growth and inflation dynamics in the US. We identify a policy shock and a policy rule in a time-varying coefficients VAR using robust sign restrictions. The transmission of policy shocks has been relatively stable. The variance of the policy shock has decreased over time, but policy shocks account for a small fraction of the level and the variations in inflation and output growth volatility and persistence. Finally we find little evidence of a significant increase in the long run response of the interest rate to inflation.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/e2a2fe9804f0f25cc25c4a04b26f628b2e28138c

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Citations in the corpus

Why are the 2000s so Different from the 1970s? A Structural Interpretation of Changes in the Macroeconomic Effects of Oil Prices (2009, unknown): “Using this expression to eliminate mt in the production function gives a reduced-form production function: q̂t = 1 1− αm (αnn̂t − αmŝt − αmμ̂ p t ) (7)”
Loan Supply Shocks and the Business Cycle (2017, unknown): “We use a time-varying VAR model with stochastic volatility as in Primiceri (2005) and Canova and Gambetti (2009). Let yt be a vector containing the following variables: real GDP, consumer prices, loan volumes, a composite lending rate and a reference short-term interest rate.”
Do institutional changes affect business cycles?: evidence from Europe (2012, unknown): “Under regularity conditions (see Geweke, 2000), cycling through the distributions in (10) produces in the limit draws from the joint posterior of interest.”
Oil and the Great Moderation (2010, unknown): “15We do not model transition dynamics here; Canova and Gambetti (2007) propose an”
Unconventional Monetary Policy and the Great Recession: Estimating the Macroeconomic Effects of a Spread Compression at the Zero Lower Bound (2012, unknown): “These results are in line with previous evidence presented in Benati and Mumtaz (2007) and Canova and Gambetti (2009) for the United States and in Benati (2008) for the United Kingdom.”
Bayesian Multivariate Time Series Methods for Empirical Macroeconomics (2010, unknown): “A very incomplete list of references which use TVP-VARs includes Canova (1993), Cogley and Sargent (2001, 2005), Primiceri (2005), Canova and Gambetti (2009), Canova and Ciccarelli (2009) and Koop, Leon-Gonzalez and Strachan (2009).”
Transmission of Government Spending Shocks in the Euro Area: Time Variation and Driving Forces (2010, unknown): “and the relation to the “Great Moderation” (see e.g. Cogley and Sargent, 2001, 2005; Primiceri, 2005; Benati and Mumtaz, 2007; Canova and Gambetti, 2009; Gaĺı and Gambetti, 2009), and the implications of structural change for macroeconomic forecasts (see D’Agostino, Gambetti, and Giannone, 2009).”
Macroeconomic Forecasting and Structural Change (2010, unknown): “ŷ1,t = σ1,tu1,t (9) ŷi,t = −ŷ[1,i−1],tφi,t + σi,tui,t i = 2, .”
The Role of Time-Varying Price Elasticities in Accounting for Volatility Changes in the Crude Oil Market (2013, methodology): “Following Benati and Mumtaz (2007) and Canova and Gambetti (2009), we compute the spectral density in the following way: f ;tjT (”
Policy uncertainty and aggregate fluctuations (2018, unknown): “While such a normalization has no speci(cid:133)c economic content, an appropriate ordering of the endogenous variables in the vector Z t can allow one to attach an economic interpretation to the orthogonalized shocks (see Sims, 1980, Primiceri, 2005, and Canova and Gambetti, 2009).”
Inflation-Gap Persistence in the U.S. (2008, methodology): “Finally, Pivetta and Reis (2007), Benati and Surico (2008), Fabio Canova, Luca Gambetti, and Evi Pappa (2008) and Canova and Gambetti (2009) use VAR methods to study changes in inflation persistence.”