Eisenstat, Eric; Strachan, Rodney W. - Crawford School of Public Policy, Australian National … - 2014
This paper discusses estimation of US inflation volatility using time varying parameter models, in particular whether … it should be modelled as a stationary or random walk stochastic process. Specifying inflation volatility as an unbounded … economic slowdowns or changes of the Federal Reserve Chair. Moreover, a decomposition of inflation shocks into permanent and …