The US Phillips Curve and inflation expectations: A State Space Markov-Switching explanatory model

Nicolas Million and Guillaume Guerrero

No 542, Econometric Society 2004 Far Eastern Meetings from Econometric Society

Abstract: This paper proposes a new empirical representation of US inflation expectations in a Stace-Space Markov-Switching framework in order to identify the expectations regimes which are associated with short and long term Phillips curves. Results suggest that the dynamics of in‡ation expectation errors change across regimes

Keywords: State-Space Markov-Switching model; Inflation expectation errors; Phillips curve; occasionally integrated process (search for similar items in EconPapers)
JEL-codes: C32 C51 E3 (search for similar items in EconPapers)
Date: 2004-08-11
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:ecm:feam04:542

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