Modeling U.S. Inflation Dynamics : A Bayesian Nonparametric Approach

Jochmann, Markus (2010) Modeling U.S. Inflation Dynamics : A Bayesian Nonparametric Approach. Discussion paper. University of Strathclyde, Glasgow.

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Abstract

This paper uses an infinite hidden Markov model (IHMM) to analyze U.S. inflation dynamics with a particular focus on the persistence of inflation. The IHMM is a Bayesian nonparametric approach to modeling structural breaks. It allows for an unknown number of breakpoints and is a flexible and attractive alternative to existing methods. We found a clear structural break during the recent financial crisis. Prior to that, inflation persistence was high and fairly constant.

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• Item metadata

  Item type:	Monograph(Discussion paper)
  ID code:	67853
  Dates:	Date Event January 2010 Published
  Notes:	Published as a paper within the Discussion Papers in Economics, No. 10-01 (2010)
  Subjects:	Social Sciences > Economic Theory
  Department:	Strathclyde Business School > Economics
  Depositing user:	Pure Administrator
  Date deposited:	14 May 2019 15:33
  Last modified:	09 Apr 2024 04:42
  URI:	https://strathprints.strath.ac.uk/id/eprint/67853