Modeling US inflation dynamics: persistence and monetary policy regimes

作者：Zhang, Chengsi^*; Clovis, Joel

来源：Empirical Economics, 2009, 36(2): 455-477.

DOI：10.1007/s00181-008-0205-2

• US inflation
• Inflation persistence
• Structural breaks
• Monetary policy

This paper employs the recently developed structural stability test with multiple regime shifts and grid bootstrapping methods to model US inflation dynamics over the past half century. Our empirical results suggest that the persistence of inflation has witnessed significant declines over the most recent period of low inflation and this helps to embed a low inflation environment. The finding is robust to a variety of measures of the inflation series and offers new insight on understanding the stationarity issue of the US inflation series.

• 出版日期2009-5
• 单位中国人民大学