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Persistence, Excess Volatility, and Volatility Clusters in Inflation

Author: Inter-university Consortium for Political and Social Research.
Publisher: Ann Arbor, Mich. : Inter-university Consortium for Political and Social Research [distributor], 2002.
Series: ICPSR (Series), 1251.
Edition/Format:   Computer file : EnglishView all editions and formats
Database:WorldCat
Summary:
This paper presents a single, integrated model to explain the persistence and volatility characteristics of the United States inflation time series. Policymaker learning about a Markov-switching natural rate of unemployment in a neoclassical Phillips curve model with time-varying preferences produces inflation persistence, volatility clustering, and mean/variance correlation. The interaction between the  Read more...
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Details

Material Type: Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Inter-university Consortium for Political and Social Research.
OCLC Number: 61146136
Notes: Title from ICPSR DDI metadata of 2004-10-30.
Details: Mode of access: Intranet.
Series Title: ICPSR (Series), 1251.
Responsibility: Michael T. Owyang.

Abstract:

This paper presents a single, integrated model to explain the persistence and volatility characteristics of the United States inflation time series. Policymaker learning about a Markov-switching natural rate of unemployment in a neoclassical Phillips curve model with time-varying preferences produces inflation persistence, volatility clustering, and mean/variance correlation. The interaction between the policymaker's preferences and the Phillips curve generates the first and last results. Policymaker learning produces clusters of volatility as the monetary authority resets the learning algorithm whenever a shock to the Phillips curve occurs. Simulations using parameters estimated via Gibbs sampling confirms the theory.

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