NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Publications by Timothy Cogley

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers onlyInformation about this author at RePEc

Working Papers and Chapters

June 2008Comment on "How Structural Are Structural Parameters?"
in NBER Macroeconomics Annual 2007, Volume 22, Daron Acemoglu, Kenneth Rogoff and Michael Woodford, editors
January 2008Inflation-Gap Persistence in the U.S.
with Giorgio E. Primiceri, Thomas J. Sargent: w13749
We use Bayesian methods to estimate two models of post WWII U.S. inflation rates with drifting stochastic volatility and drifting coefficients. One model is univariate, the other a multivariate autoregression. We define the inflation gap as the deviation of inflation from a pure random walk component of inflation and use both of our models to study changes over time in the persistence of the inflation gap measured in terms of short- to medium-term predicability. We present evidence that our measure of the inflation-gap persistence increased until Volcker brought mean inflation down in the early 1980s and that it then fell during the chairmanships of Volcker and Greenspan. Stronger evidence for movements in inflation gap persistence emerges from the VAR than from the univariate model. We in...

Published: Timothy Cogley & Giorgio E. Primiceri & Thomas J. Sargent, 2010. "Inflation-Gap Persistence in the US," American Economic Journal: Macroeconomics, American Economic Association, vol. 2(1), pages 43-69, January. citation courtesy of

January 2002Evolving Post-World War II U.S. Inflation Dynamics
with Thomas J. Sargent
in NBER Macroeconomics Annual 2001, Volume 16, Ben S. Bernanke and Kenneth Rogoff, editors

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers onlyInformation about this author at RePEc

 
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