Inflation-Gap Persistence in the U.S.

By Timothy Cogley, Giorgio E. Primiceri, Tom Sargent. 2008

576 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/e96ad362d79282671b0d6852c3ca3b042885f616

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In Economics and Econometrics

Citations in the corpus

The Stochastic Volatility in Mean Model With Time-Varying Parameters: An Application to Inflation Modeling (2017, unknown): “Following the literature on time-varying parameters vector autoregressions (e.g., Cogley and Sargent 2005; Cogley, Primiceri, and Sargent 2010), we allow for a generic correlation structure among the innovations to the random-walk coefficients.”
Transmission of Government Spending Shocks in the Euro Area: Time Variation and Driving Forces (2010, methodology): “The VAR coefficients can thus be sampled using the Kalman filter and a backward recursion, as described in Carter and Kohn (1994) and Cogley and Sargent (2001). (b) Elements of At. Conditional on the data and a history of coefficient and volatility states, equation (2) can be rewritten as Atut = vt,”
Why are Target Interest Rate Changes so Persistent (2012, methodology): “Using different target inflation measures from Cogley et al. (2010), Ireland (2007) and Coibion and Gorodnichenko (2011), we find that the estimated degree of interest smoothing is unchanged while the”
Exchange rate predictability in a changing world (2014, methodology): “In the context of fundamentals determined by Taylor rules, Boivin (2006), Kim and Nelson (2006), and Cogley et al. (2010) find that the U.S. Federal Reserve conduct of monetary policy is better characterized by a changing-coefficients Taylor rule.”
Unconventional Monetary Policy and the Great Recession: Estimating the Macroeconomic Effects of a Spread Compression at the Zero Lower Bound (2012, unknown): “In the spirit of Cogley, Primiceri, and Sargent (2010), we introduce a stochastic volatility specification for the evolution of the covariance matrix of the innovations in the law of motion of the VAR coefficients, Q t .”
An Inflation-Predicting Measure of the Output Gap in the Euro Area (2018, background): “Cogley et al. (2010) provide an economic rationale for trend inflation.”
Has U.S. Monetary Policy Tracked the Efficient Interest Rate (2014, unknown): “This is a common feature in the recent empirical DSGE literature, which helps capture the low-frequency movements in inflation and the nominal interest rate that are evident even in our relatively short sample (Gürkaynak et al., 2005; Ireland, 2007; Cogley et al., 2010; Del Negro and Eusepi, 2011; D”
Monetary Policy Regime Shifts and Inflation Persistence (2009, unknown): “The pattern of rising persistence during the 1960s and 1970s, followed by a decline starting around the Volcker disinflation, is consistent with the empirical benchmark and existing evidence on changes in inflation persistence, as in Cogley et al. (2010). The results from the DSGE analysis in Cogley”