Template-Type: ReDIF-Paper 1.0
Author-Name: Markus Jochmann
Author-Name-First: Markus
Author-Name-Last: Jochmann
Author-Email: markus.jochmann@strath.ac.uk
Author-Workplace-Name: Department of Economics, University of Strathclyde
Title: Modeling U.S. Inflation Dynamics: A Bayesian Nonparametric Approach
Abstract: This paper uses an infinite hidden Markov model (IHMM) to analyze U.S. inflation dynamics with a particular focus on the persistence of inflation. The IHMM is a Bayesian nonparametric approach to modeling structural breaks. It allows for an unknown number of breakpoints and is a flexible and attractive alternative to existing methods. We found a clear structural break during the recent financial crisis. Prior to that, inflation persistence was high and fairly constant.
Length: 25 pages
Creation-Date: 2010-01
Revision-Date: 
Publication-Status: 
File-URL: http://www.strath.ac.uk/media/1newwebsite/departmentsubject/economics/research/researchdiscussionpapers/2010/10-01.pdf
File-Format: Application/pdf
Number: 1001
Classification-JEL: C11, C22, E31
Keywords: inflation dynamics, hierarchical Dirichlet process, IHMM, structural breaks, Bayesian nonparametrics
Handle: RePEc:str:wpaper:1001