Modeling U.S. Inflation Dynamics: A Bayesian Nonparametric Approach

Markus Jochmann

Modeling U.S. Inflation Dynamics: A Bayesian Nonparametric Approach

Markus Jochmann

Economics

Research output: Working paper › Discussion paper

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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.

Original language	English
Place of Publication	Glasgow
Publisher	University of Strathclyde
Pages	1-24
Number of pages	25
Volume	10
Publication status	Published - Jan 2010

Keywords

inflation dynamics
hierarchical dirichlet process
ihmm
structural breaks
bayesian nonparametrics

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Jochmann-2010-Modeling-u.s.-inflation-dynamicsFinal published version, 438 KB

Cite this

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