Arbeitspapier
Structural shocks and the comovements between output and interest rates
Stylized facts on U.S. output and interest rates have so far proved hard to match with simple DSGE models. I estimate covariances between output, nominal and real interest rate conditional on structural shocks, since such evidence has largely been lacking in previous discussions of the output-interest rate puzzle. Conditional on shocks to technology and monetary policy, the results square with simple models. Moreover, permanent inflation shocks accounted for the counter-cyclical and inversely leading behavior of the real rate during the Great Inflation (1959-1979). Over the Great Moderation (1982-2006), technology shocks were more dominant and the real rate has been pro-cyclical.
- Language
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Englisch
- Bibliographic citation
-
Series: Working Paper ; No. 05.05
- Classification
-
Wirtschaft
- Subject
-
Interest Rates
Business Cycles
Bandpass Filter
Structural VAR
News Shocks
- Event
-
Geistige Schöpfung
- (who)
-
Mertens, Elmar
- Event
-
Veröffentlichung
- (who)
-
Swiss National Bank, Study Center Gerzensee
- (where)
-
Gerzensee
- (when)
-
2005
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Mertens, Elmar
- Swiss National Bank, Study Center Gerzensee
Time of origin
- 2005
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