This paper studies the effects of key underlying macroeconomic variables on the trend inflation rate in the USA. To do … these structural shocks on the trend inflation rate via an unobserved components model with stochastic volatility and … effects on the trend inflation rate. Price mark-up and government policy shocks increase trend inflation, which suggests that …

The Hodrick-Prescott filter is a popular tool in macroeconomics for decomposing a time series into a smooth trend and a … regulations and policy changes generally lead to similar behaviours. Thus, those events should be absorbed by the trend component … of the trend-cycle decomposition, but the Hodrick-Prescott filter does not allow for jumps. We propose a modification of …