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.

  • Item type:Monograph(Discussion paper)
    ID code:67853
    Dates:
    Date
    Event
    31 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:11 Nov 2024 16:04
    Related URLs:
    URI:https://strathprints.strath.ac.uk/id/eprint/67853
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