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 type: Monograph(Discussion paper) ID code: 67853 Dates: DateEventJanuary 2010PublishedNotes: 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: 22 Sep 2024 01:28 URI: https://strathprints.strath.ac.uk/id/eprint/67853
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