A Markov-switching model of inflation: looking at the future during uncertain times
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| Natura: | Artículo científico |
| Lingua: | en |
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Universidad Autónoma Metropolitana
2010
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| _version_ | 1876471717915787264 |
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| author | Carolina Pagliacci |
| author_facet | Carolina Pagliacci |
| contents | A Markov-switching model of inflation: looking at the future during uncertain times Carolina Pagliacci Daniel Barráez Economía y Finanzas Phillips curve regime swiching inflationary expectations In this paper, we analyze the dynamic of inflation in Venezuela, during the last eighteen years, through a Markov-switching estimation of a New Keynesian Phillips curve. Estimation is carried out using the EM algorithm. The model´s estimates distinguish between a "normal or backward looking" regime and a "rational expectation" regime consistent with episodes of high uncertainty regarding the performance of the economy. This characterization of regimes is based on two elements: the description of the process of formation of inflationary expectations and the main economic events occurred during each regime. 2010 artículo científico 0185-3937 https://www.redalyc.org/articulo.oa?id=41315994005 en http://www.redalyc.org/revista.oa?id=413 Análisis Económico application/pdf Universidad Autónoma Metropolitana Análisis Económico (México) Num.59 Vol.XXV |
| format | Artículo científico |
| id | redalyc_41315994005 |
| institution | Redalyc |
| language | en |
| publishDate | 2010 |
| publisher | Universidad Autónoma Metropolitana |
| spellingShingle | A Markov-switching model of inflation: looking at the future during uncertain times Carolina Pagliacci Economía y Finanzas Phillips curve regime swiching inflationary expectations A Markov-switching model of inflation: looking at the future during uncertain times Carolina Pagliacci Daniel Barráez Economía y Finanzas Phillips curve regime swiching inflationary expectations In this paper, we analyze the dynamic of inflation in Venezuela, during the last eighteen years, through a Markov-switching estimation of a New Keynesian Phillips curve. Estimation is carried out using the EM algorithm. The model´s estimates distinguish between a "normal or backward looking" regime and a "rational expectation" regime consistent with episodes of high uncertainty regarding the performance of the economy. This characterization of regimes is based on two elements: the description of the process of formation of inflationary expectations and the main economic events occurred during each regime. 2010 artículo científico 0185-3937 https://www.redalyc.org/articulo.oa?id=41315994005 en http://www.redalyc.org/revista.oa?id=413 Análisis Económico application/pdf Universidad Autónoma Metropolitana Análisis Económico (México) Num.59 Vol.XXV |
| title | A Markov-switching model of inflation: looking at the future during uncertain times |
| topic | Economía y Finanzas Phillips curve regime swiching inflationary expectations |
| url | https://www.redalyc.org/articulo.oa?id=41315994005 |