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Structural shocks and the comovements between output and interest rates
| Content Provider | EconStor |
|---|---|
| Author | Mertens, Elmar |
| Abstract | 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. |
| File Format | |
| Language | English |
| Publisher | Swiss National Bank, Study Center Gerzensee |
| Publisher Date | 2005-01-01 |
| Publisher Place | Gerzensee |
| Access Restriction | Open |
| Rights Holder | http://www.econstor.eu/dspace/Nutzungsbedingungen |
| Subject Keyword | Interest Rates Business Cycles Bandpass Filter Structural VAR News Shocks |
| Content Type | Text |
| Resource Type | Article |
