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The US Phillips Curve and inflation expectations: A State Space Markov-Switching explanatory model

This paper proposes a new empirical representation of US inflation expectations in a Stace-Space Markov-Switching framework in order to identify the expectations regimes which are associated with short and long term Phillips curves. Results suggest that the dynamics of in‡ation expectation errors change across regimes
Year of publication:
2004-08-11
Authors: Million, Nicolas ; Guerrero, Guillaume
Institutions: Econometric Society
Subject: State-Space Markov-Switching model | Inflation expectation errors | Phillips curve | occasionally integrated process
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Series:
Type of publication: Book / Working Paper
Notes:
The text is part of a series Econometric Society Far Eastern Meetings 2004 Number 542
Classification: E3 - Prices, Business Fluctuations, and Cycles ; C32 - Time-Series Models ; C51 - Model Construction and Estimation
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Persistent link: https://www.econbiz.de/10005086423
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