The dynamics of US inflation : can monetary policy explain the changes?
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1872-6895; 0304-4076
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Journal of Econometrics, 2012, Vol. 167, No. 1, pp. 47-6
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CANOVA, Fabio, FERRONI, Filippo, The dynamics of US inflation : can monetary policy explain the changes?, Journal of Econometrics, 2012, Vol. 167, No. 1, pp. 47-6 - https://hdl.handle.net/1814/29197
Abstract
We investigate the relationship between monetary policy and inflation dynamics in the US using a medium scale structural model. The specification is estimated with Bayesian techniques and fits the data reasonably well. Policy shocks account for a part of the decline in inflation volatility; they have been less effective in triggering inflation responses over time and qualitatively account for the rise and fall in the level of inflation. A number of structural parameter variations contribute to these patterns.
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Received 6 September 2006
Received in revised form
10 July 2010
Accepted 9 August 2011
Available online 9 November 2011