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US volatility cycles of output and inflation, 1919-2004: a money and banking approach to a puzzle

Gillman, Max, Benk, Szilard and Kejak, Michal 2009. US volatility cycles of output and inflation, 1919-2004: a money and banking approach to a puzzle. [Working Paper]. vol. DP7150. London: Centre for Economic Policy Research. Available at: http://www.cepr.org/pubs/new-dps/dplist.asp?dpno=7...

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Abstract

The post-1983 moderation coincided with an ahistorical divergence in the money aggregate growth and velocity volatilities away from the downward trending GDP and inflation volatilities. Using an en dogenous growth monetary DSGE model, with micro-based banking production, enables a contrasting characterization of the two great volatility cycles over the historical period of 1919-2004, and enables this puzzle to be addressed more easily. The volatility divergence is explained by the upswing in the credit volatility that kept money supply variability from translating into inflation and GDP volatility.

Item Type: Monograph (Working Paper)
Date Type: Publication
Status: Published
Schools: Business (Including Economics)
Subjects: H Social Sciences > H Social Sciences (General)
H Social Sciences > HB Economic Theory
H Social Sciences > HG Finance
J Political Science > JK Political institutions (United States)
Uncontrolled Keywords: Volatility; Money and credit shocks; Growth; Inflation.
Publisher: Centre for Economic Policy Research
Last Modified: 19 Mar 2016 22:52
URI: http://orca-mwe.cf.ac.uk/id/eprint/29667

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