A New Model of Trend Ination

نویسندگان

  • Joshua C.C. Chan
  • Gary Koop
  • Simon M. Potter
چکیده

This paper introduces a new model of trend in‡ation. In contrast to many earlier approaches, which allow for trend in‡ation to evolve according to a random walk, ours is a bounded model which ensures that trend in‡ation is constrained to lie in an interval. The bounds of this interval can either be …xed or estimated from the data. Our model also allows for a time-varying degree of persistence in the transitory component of in‡ation. In an empirical exercise with CPI in‡ation we …nd the model to work well, yielding more sensible measures of trend in‡ation and forecasting better than popular alternatives such as the unobserved components stochastic volatility model.

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تاریخ انتشار 2012