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

Markus Jochmann ()

Working Paper series from Rimini Centre for Economic Analysis

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.

Keywords: inflation dynamics; hierarchical Dirichlet process; IHMM; structural breaks; Bayesian nonparametrics (search for similar items in EconPapers)
JEL-codes: C11 C22 E31 (search for similar items in EconPapers)
Date: 2010-01
New Economics Papers: this item is included in nep-cba, nep-ecm, nep-mon and nep-ore
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Citations: View citations in EconPapers (10)

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Related works:
Working Paper: Modeling U.S. Inflation Dynamics: A Bayesian Nonparametric Approach (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:rim:rimwps:03_10

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