Articles - Bank of England - Evolving UK and US macroeconomic dynamics


Evolving UK and US macroeconomic dynamics through the lens of a model of deterministic structural change

 Using a model of deterministic structural change, we revisit several topics in inflation dynamics explored previously using stochastic, time-varying parameter models. We document significant reductions in inflation persistence and predictability. We estimate that changes in the volatility of shocks were decisive in accounting for the great moderations of the United States and the United Kingdom. We also show that the magnitude and the persistence of the response of inflation and output to monetary policy shocks has fallen in these two countries. These findings should be of interest in those seeking to resolve theoretical debates about the sources of apparent nominal and real frictions in the macroeconomy, and the causes of the Great Moderation.

 Click on the link below to see or to download:

 

Back to Index


Similar News to this Story

Inflation risk premium why think about it now
An inflation risk premium (IRP) is nothing new. Market-implied inflation has historically been higher than actual realised inflation. There is only
Workplace emergency savings
Nest Insight event dedicated to workplace emergency savings, where we’ll share the latest findings from our research trials and hear from other practi
How to identify the key issues early in reserving
This article looks at how an analytical approach to reserving can help actuaries focus on what really matters, right at the start of the process. We s

Site Search

Exact   Any  

Latest Actuarial Jobs

Actuarial Login

Email
Password
 Jobseeker    Client
Reminder Logon

APA Sponsors

Actuarial Jobs & News Feeds

Jobs RSS News RSS

WikiActuary

Be the first to contribute to our definitive actuarial reference forum. Built by actuaries for actuaries.