scholarly journals Corrigendum to “Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors” [J. Econometrics 212 (1) (2019) 137–154]

2021 ◽  
Author(s):  
Andrea Carriero ◽  
Joshua Chan ◽  
Todd E. Clark ◽  
Massimiliano Marcellino
Keyword(s):  
Stochastic Volatility ◽  
Vector Autoregressions ◽  
Conjugate Priors

scholarly journals Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors

2019 ◽  
Vol 212 (1) ◽  
pp. 137-154 ◽  
Author(s):  
Andrea Carriero ◽  
Todd E. Clark ◽  
Massimiliano Marcellino
Keyword(s):  
Stochastic Volatility ◽  
Vector Autoregressions ◽  
Conjugate Priors

scholarly journals Inflation-Gap Persistence in the US

2010 ◽  
Vol 2 (1) ◽  
pp. 43-69 ◽  
Author(s):  
Timothy Cogley ◽  
Giorgio E. Primiceri ◽  
Thomas J. Sargent
Keyword(s):  
Stochastic Volatility ◽  
New Keynesian ◽  
New Keynesian Model ◽  
Vector Autoregressions ◽  
Medium Term ◽  
Inflation Target ◽  
Keynesian Model ◽  
Trend Inflation ◽  
The Us ◽  
The Difference

We estimate vector autoregressions with drifting coefficients and stochastic volatility to investigate whether US inflation persistence has changed. We focus on the inflation gap, defined as the difference between inflation and trend inflation, and we measure persistence in terms of short- to medium-term predictability. We present evidence that inflation-gap persistence increased during the Great Inflation and that it fell after the Volcker disinflation. We interpret these changes using a dynamic new Keynesian model that highlights the importance of changes in the central bank's inflation target. (JEL E12, E31, E52, E58)

Sign in / Sign up

Export Citation Format

Share Document