Matches in SemOpenAlex for { <https://semopenalex.org/work/W2476516598> ?p ?o ?g. }
Showing items 1 to 95 of
95
with 100 items per page.
- W2476516598 endingPage "820" @default.
- W2476516598 startingPage "805" @default.
- W2476516598 abstract "Summary This paper discusses estimation of US inflation volatility using time‐varying parameter models, in particular whether it should be modelled as a stationary or random walk stochastic process. Specifying inflation volatility as an unbounded process, as implied by the random walk, conflicts with priors beliefs, yet a stationary process cannot capture the low‐frequency behaviour commonly observed in estimates of volatility. We therefore propose an alternative model with a change‐point process in the volatility that allows for switches between stationary models to capture changes in the level and dynamics over the past 40 years. To accommodate the stationarity restriction, we develop a new representation that is equivalent to our model but is computationally more efficient. All models produce effectively identical estimates of volatility, but the change‐point model provides more information on the level and persistence of volatility and the probabilities of changes. For example, we find a few well‐defined switches in the volatility process and, interestingly, these switches line up well with economic slowdowns or changes of the Federal Reserve Chair. Moreover, a decomposition of inflation shocks into permanent and transitory components shows that a spike in volatility in the late 2000s was entirely on the transitory side and characterized by a rise above its long‐run mean level during a period of higher persistence. Copyright © 2015 John Wiley & Sons, Ltd." @default.
- W2476516598 created "2016-08-23" @default.
- W2476516598 creator A5056787419 @default.
- W2476516598 creator A5076036807 @default.
- W2476516598 date "2015-05-29" @default.
- W2476516598 modified "2023-10-05" @default.
- W2476516598 title "Modelling Inflation Volatility" @default.
- W2476516598 cites W1483294473 @default.
- W2476516598 cites W1588644181 @default.
- W2476516598 cites W1669087416 @default.
- W2476516598 cites W1960807811 @default.
- W2476516598 cites W1964664313 @default.
- W2476516598 cites W1991606998 @default.
- W2476516598 cites W1997460040 @default.
- W2476516598 cites W2010338547 @default.
- W2476516598 cites W2034598516 @default.
- W2476516598 cites W2037360823 @default.
- W2476516598 cites W2041811101 @default.
- W2476516598 cites W2056687719 @default.
- W2476516598 cites W2057765075 @default.
- W2476516598 cites W2059618523 @default.
- W2476516598 cites W2127995420 @default.
- W2476516598 cites W2161496057 @default.
- W2476516598 cites W2167943787 @default.
- W2476516598 cites W2269698385 @default.
- W2476516598 cites W3099242408 @default.
- W2476516598 cites W3121304385 @default.
- W2476516598 cites W3121595883 @default.
- W2476516598 cites W3121777463 @default.
- W2476516598 cites W3121902344 @default.
- W2476516598 cites W3123530756 @default.
- W2476516598 cites W3124444187 @default.
- W2476516598 cites W3126042383 @default.
- W2476516598 doi "https://doi.org/10.1002/jae.2469" @default.
- W2476516598 hasPublicationYear "2015" @default.
- W2476516598 type Work @default.
- W2476516598 sameAs 2476516598 @default.
- W2476516598 citedByCount "12" @default.
- W2476516598 countsByYear W24765165982015 @default.
- W2476516598 countsByYear W24765165982016 @default.
- W2476516598 countsByYear W24765165982017 @default.
- W2476516598 countsByYear W24765165982018 @default.
- W2476516598 countsByYear W24765165982019 @default.
- W2476516598 countsByYear W24765165982020 @default.
- W2476516598 countsByYear W24765165982022 @default.
- W2476516598 crossrefType "journal-article" @default.
- W2476516598 hasAuthorship W2476516598A5056787419 @default.
- W2476516598 hasAuthorship W2476516598A5076036807 @default.
- W2476516598 hasBestOaLocation W24765165982 @default.
- W2476516598 hasConcept C105795698 @default.
- W2476516598 hasConcept C117996083 @default.
- W2476516598 hasConcept C121194460 @default.
- W2476516598 hasConcept C13290067 @default.
- W2476516598 hasConcept C149782125 @default.
- W2476516598 hasConcept C162324750 @default.
- W2476516598 hasConcept C187625094 @default.
- W2476516598 hasConcept C192620184 @default.
- W2476516598 hasConcept C24189920 @default.
- W2476516598 hasConcept C33923547 @default.
- W2476516598 hasConcept C85393063 @default.
- W2476516598 hasConcept C91602232 @default.
- W2476516598 hasConceptScore W2476516598C105795698 @default.
- W2476516598 hasConceptScore W2476516598C117996083 @default.
- W2476516598 hasConceptScore W2476516598C121194460 @default.
- W2476516598 hasConceptScore W2476516598C13290067 @default.
- W2476516598 hasConceptScore W2476516598C149782125 @default.
- W2476516598 hasConceptScore W2476516598C162324750 @default.
- W2476516598 hasConceptScore W2476516598C187625094 @default.
- W2476516598 hasConceptScore W2476516598C192620184 @default.
- W2476516598 hasConceptScore W2476516598C24189920 @default.
- W2476516598 hasConceptScore W2476516598C33923547 @default.
- W2476516598 hasConceptScore W2476516598C85393063 @default.
- W2476516598 hasConceptScore W2476516598C91602232 @default.
- W2476516598 hasIssue "5" @default.
- W2476516598 hasLocation W24765165981 @default.
- W2476516598 hasLocation W24765165982 @default.
- W2476516598 hasOpenAccess W2476516598 @default.
- W2476516598 hasPrimaryLocation W24765165981 @default.
- W2476516598 hasRelatedWork W1487804950 @default.
- W2476516598 hasRelatedWork W1522807025 @default.
- W2476516598 hasRelatedWork W1555608873 @default.
- W2476516598 hasRelatedWork W1601881750 @default.
- W2476516598 hasRelatedWork W1973667310 @default.
- W2476516598 hasRelatedWork W2056972995 @default.
- W2476516598 hasRelatedWork W2739057522 @default.
- W2476516598 hasRelatedWork W3015812536 @default.
- W2476516598 hasRelatedWork W3125733047 @default.
- W2476516598 hasRelatedWork W4377942496 @default.
- W2476516598 hasVolume "31" @default.
- W2476516598 isParatext "false" @default.
- W2476516598 isRetracted "false" @default.
- W2476516598 magId "2476516598" @default.
- W2476516598 workType "article" @default.