Scribd Logo
Upload

Welcome to Scribd!

  • S 016518891400061 X

    Uploaded by

    Gabriel Chávez
    11 views1 page
    This document is an abstract from an academic journal article that studies the structural evolution of the postwar U.S. economy. The authors use a time-varying parameter vector autoregressive model with stochastic volatility and mixture innovations to analyze whether the Lucas critique applies. They find that while some monetary policy parameters changed independently of reduced-form inflation and unemployment parameters, contradicting Lucas, the U.S. economy has seen considerable evolution, like a reduction in the impact of monetary policy on inflation in the late 1980s. They also detect changes in the Phillips curve relationship between inflation and cyclical unemployment in the 1970s and mid-1990s.

    Original Description:

    Original Title

    s 016518891400061 x

    Copyright

    © © All Rights Reserved

    Available Formats

    TXT, PDF, TXT or read online from Scribd

    Did you find this document useful?

    Is this content inappropriate?

    Report this Document
    This document is an abstract from an academic journal article that studies the structural evolution of the postwar U.S. economy. The authors use a time-varying parameter vector autoregressive model with stochastic volatility and mixture innovations to analyze whether the Lucas critique applies. They find that while some monetary policy parameters changed independently of reduced-form inflation and unemployment parameters, contradicting Lucas, the U.S. economy has seen considerable evolution, like a reduction in the impact of monetary policy on inflation in the late 1980s. They also detect changes in the Phillips curve relationship between inflation and cyclical unemployment in the 1970s and mid-1990s.

    Copyright:

    © All Rights Reserved
    Download as TXT, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    11 views1 page

    S 016518891400061 X

    Uploaded by

    Gabriel Chávez
    This document is an abstract from an academic journal article that studies the structural evolution of the postwar U.S. economy. The authors use a time-varying parameter vector autoregressive model with stochastic volatility and mixture innovations to analyze whether the Lucas critique applies. They find that while some monetary policy parameters changed independently of reduced-form inflation and unemployment parameters, contradicting Lucas, the U.S. economy has seen considerable evolution, like a reduction in the impact of monetary policy on inflation in the late 1980s. They also detect changes in the Phillips curve relationship between inflation and cyclical unemployment in the 1970s and mid-1990s.

    Copyright:

    © All Rights Reserved
    Download as TXT, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 1

    Yuelin Liu, James Morley,

    Structural evolution of the postwar U.S. economy,


    Journal of Economic Dynamics and Control,
    Volume 42,
    2014,
    Pages 50-68,
    ISSN 0165-1889,
    https://doi.org/10.1016/j.jedc.2014.03.002.
    (https://www.sciencedirect.com/science/article/pii/S016518891400061X)
    Abstract: We consider a time-varying parameter vector autoregressive model with
    stochastic volatility and mixture innovations to study the empirical relevance of
    the Lucas critique for the postwar U.S. economy. The model allows blocks of
    parameters to change at endogenously estimated points of time. Contrary to the
    Lucas critique, there are large changes at certain points of time in the parameters
    associated with monetary policy that do not correspond to changes in “reduced-form”
    parameters for inflation or the unemployment rate. However, the structure of the
    U.S. economy has evolved considerably over the postwar period, with an apparent
    reduction in the late 1980s in the impact of monetary policy shocks on inflation,
    though not on the unemployment rate. Related, we find changes in the Phillips curve
    tradeoff between inflation and cyclical unemployment (measured as the deviation
    from the time-varying steady-state unemployment rate implied by the model) in the
    1970s and especially since the mid-1990s.
    Keywords: Time-varying parameters; Mixture innovations; Lucas critique; Great
    Moderation; Natural rate of unemployment; Phillips curve

    You might also like