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European Central Bank Abstract

By Luca Benati, Paolo Surico and Bank Of England

Abstract

In this note we reply to Fabio Canova’s (2006) comments on our paper ‘VAR Analysis and the Great Moderation’. We show that Canova’s comments do not affect our key conclusions: (i) existing VAR evidence on the Great Moderation does not provide decisive support for the good luck hypothesis; and (ii) such evidence is consistent with the notion that good policy has played a significant role in fostering the greater stability of the most recent years

Topics: Great Moderation, VARs, counterfactuals
Year: 2009
OAI identifier: oai:CiteSeerX.psu:10.1.1.134.8531
Provided by: CiteSeerX
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