The Resource Persistence, Excess Volatility, and Volatility Clusters in Inflation

Persistence, Excess Volatility, and Volatility Clusters in Inflation

Label
Persistence, Excess Volatility, and Volatility Clusters in Inflation
Title
Persistence, Excess Volatility, and Volatility Clusters in Inflation
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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 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
http://library.link/vocab/creatorName
  • Owyang, Michael T
  • Inter-university Consortium for Political and Social Research [distributor]
Label
Persistence, Excess Volatility, and Volatility Clusters in Inflation
Instantiates
Publication
Note
1251
Control code
ICPSR01251.v1
Governing access note
Access restricted to subscribing institutions
Label
Persistence, Excess Volatility, and Volatility Clusters in Inflation
Publication
Note
1251
Control code
ICPSR01251.v1
Governing access note
Access restricted to subscribing institutions

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