The "great moderation" in the United Kingdom

Journal of Money, Credit and Banking

Volumn 40, Issue 1, 2008, Pages 121-147

  Benati, Luca ^a  

^a BANK OF ENGLAND   (United Kingdom)

Author keywords

Bayesian VARs; European Monetary System; Frequency domain; Great Inflation; Identified VARs; Lucas critique; Policy counterfactuals; Stochastic volatility; Time varying parameters

Indexed keywords

EID: 38749115740     PISSN: 00222879     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1538-4616.2008.00106.x     Document Type: Article

References (27)

1. Batini, Nicoletta, and Edward Nelson 2005 The U.K.'s Rocky Road to Stability Working Paper 2005-020A, Federal Reserve Bank of St. Louis.
2. Beltrao, Kazuo I., and Peter Bloomfield 1987 Determining the Bandwidth of a Kernel Spectrum Estimate Journal of Time Series Analysis, 8 : 1, 21 38.
3. Benati, Luca 2004 Evolving Post-World War II U.K. Economic Performance Journal of Money, Credit and Banking, 36 : 4, 691 717.
4. Benati, Luca 2006 U.K. Monetary Regimes and Macroeconomic Stylised Facts Bank of England Working Paper N. 290.
5. Benati, Luca 2007 Investigating Inflation Persistence Across Monetary Regimes European Central Bank Working Paper.
6. Benati, Luca, and Haroon Mumtaz 2007 U.S. Evolving Macroeconomic Dynamics: A Structural Investigation European Central Bank Working Paper.
7. Berkowitz, Jeremy, and Francis X. Diebold 1998 Bootstrapping Multivariate Spectra Review of Economics and Statistics, 80 : 4, 664 66.
8. Canova, Fabio, and Luca Gambetti 2005 Structural Changes in the U.S. Economy: Bad Luck or Bad Policy Mimeo, Universitat Pompeu Fabra and IGIER.
9. Capie, Forrest, and Alan Webber 1985) A Monetary History of the United Kingdom, 1870-1982. London : Allen & Unwin.
10. Carter, Chris K., and Robert P. Kohn 2004 On Gibbs Sampling for State Space Models Biometrika, 81, 541 53.
11. Christiano, Lawrence, and Terry Fitzgerald 2003 The Band-Pass Filter International Economic Review, 44 : 4, 435 65.
12. Cogley, Timothy W. (2005 How Fast Can the New Economy Grow? Journal of Macroeconomics, 27 : 4, 179 207.
13. Cogley, Timothy W., Sergei Morozov, and Thomas J. Sargent 2003 Bayesian Fan Charts for U.K. Inflation: Forecasting and Sources of Uncertainty in an Evolving Monetary System Journal of Economic Dynamics and Control, 29 : 4, 1893 1925.
14. Cogley, Timothy W., and Thomas J. Sargent 2002 Evolving Post-WWII U.S. Inflation Dynamics In NBER Macroeconomics Annuals 2001, edited by B. Bernanke and K. Rogoff, pp. 331 73. Cambridge, MA : The MIT Press.
15. Cogley, Timothy W., and Thomas J. Sargent 2005 Drifts and Volatilities: Monetary Policies and Outcomes in the Post WWII U.S Review of Economic Dynamics, 8 (April 262 302.
16. Gambetti, Luca, Evi Pappa, and Fabio Canova 2006 The Structural Dynamics of US Output and Inflation: What Explains the Changes? Journal of Money, Credit, and Banking, forthcoming.
17. Geweke, John 1992 Evaluating the Accuracy of Sampling-Based Approaches to the Calculation of Posterior Moments In Bayesian Statistics, edited by J.M. Bernardo, J. Berger, A.P. Dawid, and A.F.M. Smith, pp. 169 93. Oxford : Oxford University Press.
18. Jacquier, Eric, Nicholas G. Polson, and Peter Rossi 2004 Bayesian Analysis of Stochastic Volatility Models Journal of Business and Economic Statistic, 12, 371 418.
19. Kim, Chang-Jin, and Charles Nelson 2000) State-Space Models with Regime Switching. Cambridge, MA : The MIT Press.
20. Lubik, Thomas, and Frank Schorfheide 2004 Testing for Indeterminacy: An Application to U.S. Monetary Policy American Economic Review, 94 : 1, 190 217.
21. Primiceri, Giorgio E. (2005 Time Varying Structural Vector Autoregressions and Monetary Policy The Review of Economic Studies, 72, 821 52.
22. Rubio, Juan, Daniel Waggoner, and Tao Zha 2005 Regime Changes in the Euro Area Mimeo, Federal Reserve Bank of Atlanta.
23. Sims, Christopher, and Tao Zha Forthcoming Were There Regime Switches in U.S. Monetary Policy? American Economic Review.
24. Stock, James 2002 Discussion In NBER Macroeconomics Annuals 2001, edited by B. Bernanke and K. Rogoff. Cambridge, MA : The MIT Press.
25. Stock, James, and Mark Watson 2002 Has the Business Cycle Changed and Why In NBER Macroeconomics Annuals 2002, edited by M. Gertler and K. Rogoff, pp. 159 218. Cambridge, MA : The MIT Press.
26. Stock, James, and Mark Watson 2007 Why Has U.S. Inflation Become Harder to Forecast? Journal of Money, Credit and Banking, 39, 3-33.
27. Whittle, Peter 1953 The Analysis of Multiple Stationary Time Series Journal of the Royal Statistical Society, Series B, 15, 125 39.