English, Article, Journal or magazine article edition: Do expectations matter? The Great Moderation revisited Fabio Canova; Luca Gambetti

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Bookmark: http://trove.nla.gov.au/version/154542
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Do expectations matter? The Great Moderation revisited
Author
  • Fabio Canova
  • Luca Gambetti
Physical Description
  • preprint
Notes
  • We examine the role of expectations in the Great Moderation episode. We derive theoretical restrictions in a New-Keynesian model and test them using measures of expectations obtained from survey data, the Greenbook and bond markets. Expectations explain the dynamics of inflation and of interest rates but their importance is roughly unchanged over time. Systems with and without expectations display similar reduced form characteristics. Including or excluding expectations hardly changes the economic explanation of the Great Moderation. Results are robust to changes in the structure of the empirical model.
  • Indeterminacy, Expectations, Term structure, Structural VARs, Sunspot
  • RePEc:upf:upfgen:1084
Language
  • English
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