Evolving Post-World War II U.S. Inflation Dynamics
AbstractThis paper uses a nonlinear stochastic model to describe inflation-unemployment dynamics in the U.S. after World War II. The model is a vector autoregression with coefficients that are random walks with innovations that are arbitrarily correlated with each other and with innovations to the observables. The model enables us to detect features that have been emphasized in theoretical analyses of inflation-unemployment dynamics. Those analyses involve coefficient drift in essential ways.
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Bibliographic InfoPaper provided by Department of Economics, W. P. Carey School of Business, Arizona State University in its series Working Papers with number 2132872.
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- Timothy Cogley & Thomas J. Sargent, 2002. "Evolving Post-World War II U.S. Inflation Dynamics," NBER Chapters, in: NBER Macroeconomics Annual 2001, Volume 16, pages 331-388 National Bureau of Economic Research, Inc.
- NEP-ALL-2005-05-14 (All new papers)
- NEP-CBA-2005-05-14 (Central Banking)
- NEP-MAC-2005-05-14 (Macroeconomics)
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