The Resource Persistence, Excess Volatility, and Volatility Clusters in Inflation
Persistence, Excess Volatility, and Volatility Clusters in Inflation
Resource Information
The item Persistence, Excess Volatility, and Volatility Clusters in Inflation represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in Bowdoin College Library.This item is available to borrow from 1 library branch.
Resource Information
The item Persistence, Excess Volatility, and Volatility Clusters in Inflation represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in Bowdoin College Library.
This item is available to borrow from 1 library branch.
- 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
- Note
- 1251
- Label
- Persistence, Excess Volatility, and Volatility Clusters in Inflation
- Title
- Persistence, Excess Volatility, and Volatility Clusters in Inflation
- 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
- Note
- 1251
- Control code
- ICPSR01251.v1
- Governing access note
- Access restricted to subscribing institutions
- Label
- Persistence, Excess Volatility, and Volatility Clusters in Inflation
- Note
- 1251
- Control code
- ICPSR01251.v1
- Governing access note
- Access restricted to subscribing institutions
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<div class="citation" vocab="http://schema.org/"><i class="fa fa-external-link-square fa-fw"></i> Data from <span resource="http://link.bowdoin.edu/portal/Persistence-Excess-Volatility-and-Volatility/55XQxXocllc/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.bowdoin.edu/portal/Persistence-Excess-Volatility-and-Volatility/55XQxXocllc/">Persistence, Excess Volatility, and Volatility Clusters in Inflation</a></span> - <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.bowdoin.edu/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.bowdoin.edu/">Bowdoin College Library</a></span></span></span></span></div>
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<div class="citation" vocab="http://schema.org/"><i class="fa fa-external-link-square fa-fw"></i> Data from <span resource="http://link.bowdoin.edu/portal/Persistence-Excess-Volatility-and-Volatility/55XQxXocllc/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.bowdoin.edu/portal/Persistence-Excess-Volatility-and-Volatility/55XQxXocllc/">Persistence, Excess Volatility, and Volatility Clusters in Inflation</a></span> - <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.bowdoin.edu/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.bowdoin.edu/">Bowdoin College Library</a></span></span></span></span></div>
