EconPapers    
Economics at your fingertips  
 

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)
New Economics Papers: this item is included in nep-cba, nep-ecm, nep-mon and nep-ore
Date: 2010-01
References: Add references at CitEc
Citations: View citations in EconPapers (9) Track citations by RSS feed

Downloads: (external link)
http://www.rcea.org/RePEc/pdf/wp03_10.pdf (application/pdf)

Related works:
Journal Article: Modeling U.S. Inflation Dynamics: A Bayesian Nonparametric Approach (2015) Downloads
Working Paper: Modeling U.S. Inflation Dynamics: A Bayesian Nonparametric Approach (2010) Downloads
Working Paper: Modeling U.S. Inflation Dynamics: A Bayesian Nonparametric Approach (2010) Downloads
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:rim:rimwps:03_10

Access Statistics for this paper

More papers in Working Paper series from Rimini Centre for Economic Analysis Contact information at EDIRC.
Bibliographic data for series maintained by Marco Savioli ().

 
Page updated 2019-04-10
Handle: RePEc:rim:rimwps:03_10