Persistence, Excess Volatility, and Volatility Clusters in Inflation / Michael T. Owyang.

Format:

Datafile

Contributor:

Inter-university Consortium for Political and Social Research.

Series:

ICPSR (Series) ; 1251.

ICPSR ; 1251

Language:

English

Genre:

Academic theses.

Physical Description:

1 online resource.

Place of Publication:

Ann Arbor, Mich. : Inter-university Consortium for Political and Social Research [distributor], 2002.

System Details:

Mode of access: World Wide Web.

data file

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.

Notes:

Title from ICPSR DDI metadata of 2004-10-30.

OCLC:

61146136

Access Restriction:

Restricted for use by site license.