English, Article edition: Drift and Volatilities: Monetary Policies and Outcomes in the Post WWII U.S. Timothy Cogley; Thomas J. Sargent

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Physical Description
  • article
Language
  • English

Edition details

Title
  • Drift and Volatilities: Monetary Policies and Outcomes in the Post WWII U.S.
Author
  • Timothy Cogley
  • Thomas J. Sargent
Physical Description
  • article
Notes
  • For a VAR with drifting coefficients and stochastic volatilities, we present posterior densities for several objects that are pertinent for designing and evaluating monetary policy. These include easures of inflation persistence, the natural rate of unemployment, a core rate of inflation, and activism coefficients for monetary policy rules. Our posteriors imply substantial variation of all of these objects for post WWII U.S. data. After adjusting for changes in volatility, persistence of inflation increases during the 1970s, then falls in the 1980s and 1990s. Innovation variances change systematically, being substantially larger in the late 1970s than during other times. Measures of uncertainty about core inflation and the degree of persistence covary positively. We use our posterior distributions to evaluate the power of several tests that have been used to test the null hypothesis of time-invariance of autoregressive coefficients of VARs against the alternative of time-varying coefficients. Except for one, we find that those tests have low power against the form of time variation captured by our model. (Copyright: Elsevier)
  • RePEc:red:issued:v:8:y:2005:i:2:p:262-302
Language
  • English
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