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

Markus Jochmann ()

Econometric Reviews, 2015, vol. 34, issue 5, 537-558

Abstract: The properties of the inflation process and especially possible changes in its persistence have received much attention in the literature. However, empirical evidence is ambiguous. Some studies find that inflation persistence varied over time, others conclude it was constant. This article contributes further evidence to this ongoing debate by modeling U.S. inflation dynamics using a sticky infinite hidden Markov model (sticky IHMM). The sticky 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 that inflation persistence was highest in 1973-74 and then again around 1980. However, credible intervals for our estimates of inflation persistence were very wide. Thus, a substantial amount of uncertainty about this aspect of inflation dynamics remained.

Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
http://hdl.handle.net/10.1080/07474938.2013.806199 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Modeling U.S. Inflation Dynamics: A Bayesian Nonparametric Approach (2010)
Working Paper: Modeling U.S. Inflation Dynamics: A Bayesian Nonparametric Approach (2010)
Working Paper: Modeling U.S. Inflation Dynamics: A Bayesian Nonparametric Approach (2010)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:emetrv:v:34:y:2015:i:5:p:537-558

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/LECR20

DOI: 10.1080/07474938.2013.806199

Access Statistics for this article

Econometric Reviews is currently edited by Dr. Essie Maasoumi

More articles in Econometric Reviews from Taylor & Francis Journals
Bibliographic data for series maintained by ().