Changes in U.S. Inflation Persistence

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

The Berkeley Electronic Press

• Journals Home
• bepress Home
• My Account

NEWS:
SNDE 2009 Impact Factor is 0.857 (106/245)

Studies in Nonlinear Dynamics & Econometrics

• Next Article »

Vol. 13 (2009) / Issue 4 / Articles



Changes in U.S. Inflation PersistenceKyu Ho Kang, Washington University in St. Louis
Chang-Jin Kim, Korea University and University of Washington
James Morley, Washington University in St. Louis

AbstractWe investigate the existence and timing of changes in U.S. inflation persistence. To do so, we develop an unobserved components model of inflation with Markov-switching parameters and we measure persistence using impulse response functions based on the model. An important feature of our model is its allowance for multiple regime shifts in parameters related to the size and propagation of shocks. Inflation persistence depends on the configuration of these parameters, although it need not change even if the parameters change. Using the GDP deflator for the sample period of 1959-2006, we find that U.S. inflation underwent two sudden permanent regime shifts, both of which corresponded to changes in persistence. The first regime shift occurred around the collapse of the Bretton Woods system at the beginning of the 1970's and produced an increase in inflation persistence, while the second regime shift occurred immediately after the Volcker disinflation in the early 1980's and produced a decrease in inflation persistence. Meanwhile, consistent with the New Keynesian Phillips Curve, the gap between inflation and its long-run trend displayed little or no persistence throughout the entire sample period. Recommended CitationKyu Ho Kang, Chang-Jin Kim, and James Morley (2009) "Changes in U.S. Inflation Persistence", Studies in Nonlinear Dynamics & Econometrics: Vol. 13: No. 4, Article 1.
http://www.bepress.com/snde/vol13/iss4/art1
Related Fileskang_datacode.zip1 (9 kB)
Data and code


2 Download


[email=?subject=Interesting%20article&body=There%20is%20an%20article%20in%20Studies%20in%20Nonlinear%20Dynamics%20%26%20Econometrics%20that%20I%20thought%20you%20might%20like%20to%20read:%20Kyu%20Ho%20Kang%2C%20Chang-Jin%20Kim%2C%20and%20James%20Morley%20(2009)%20Changes%20in%20U.S.%20Inflation%20Persistence,%20http://www.bepress.com/snde/vol1 ... oy%20this%20article,%20which%20may%20be%20viewed%20without%20charge.]Tell a Colleague[/email] Print
3






Links

• http://www.bepress.com/cgi/viewcontent.cgi?filename=1&article=1693&context=snde&type=additional
• http://www.bepress.com/assets/md5images/99c2b0e47fbc7ca7b3a1b6c4a6d1472c.gif
• http://s9.addthis.com/button1-bm.gif

• Journal Home
• About this Journal/Indexing
• Aims & Scope
• Editorial Board
• Policies
• Author Instructions

  New Content Alerts
RSS feed

• Subscribe
• Submit Manuscript
• Most Popular Papers
• Recommend to Your Library

• Special Issues:
• Regime-Switching Models in Economics and Finance
• Nonlinear Dynamical Methods and Time Series Analysis

Browse: Browse   
      Search:
Advanced Search






Copyright ©1999-2010 The Berkeley Electronic Press™ All rights reserved.
Terms of Service | Copyright | Privacy | Accessibility Statement

ISSN: 1558-3708


ISSN: 1558-3708 ©1999-2010 The Berkeley Electronic Press™ All rights reserved.
To submit, subscribe, recommend this journal to your library, or sign up for email alerts, please visit: http://www.bepress.com/snde

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏0 回帖

关键词：persistence persistenc inflation changes flation inflation changes persistence

thank you...

支持