Unobserved-Component Time-Series Models with Markov- Switching Heteroskedasticity: Changes in Regimes and the Link between Inflation Rates and Inflation Uncertainty
In this article, I first extend the standard unobserved-component time series model to include Hamilton's Markov-switching heteroscedasticity. This will provide an alternative to the unobserved-component model with autoregressive conditional heteroscedasticity, as developed by Harvey, Ruiz, and Sentana and by Evans and Wachtel. I then apply a generalized version of the model to investigate the link between inflation and its uncertainty (U.S. data, gross national product deflator, 1958:1-1990:4). I assume that inflation consists of a stochastic trend (random-walk) component and a stationary autoregressive component, following Ball and Cecchetti, and a four-state model of U.S. inflation rate is specified. By incorporating regime shifts in both mean and variance structures, I analyze the interaction of mean and variance over long and short horizons. The empirical results show that inflation is costly because higher inflation is associated with higher long-run uncertainty.
(This abstract was borrowed from another version of this item.)
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:||1992|
|Date of revision:|
|Contact details of provider:|| Postal: YORK UNIVERSITY, DEPARTMENT OF ECONOMICS, 4700 KEELE ST-NORTH YORK ONTARIO H3J 1P3 CANADA.|
Phone: (416) 736-5083
Fax: (416) 736-5987
Web page: http://dept.econ.yorku.ca/
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:fth:yorkca:92-1. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Thomas Krichel)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.