Evolving UK and US macroeconomic dynamics investigated: Bank paper
George Kapetanios and Tony Yates, the authors of a Bank of England working paper, released in July, use a model of deterministic structural change to revisit several topics in inflation dynamics explored previously using stochastic, time-varying parameter models.
The paper finds significant reductions in inflation persistence and predictability. This leads the authors to "estimate that changes in the volatility of shocks were decisive in accounting for the great moderations of the United States
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