A Markov-switching model of inflation: looking at the future during uncertain times

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...

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Detalles Bibliográficos
Autores principales: Carolina Pagliacci, Daniel Barráez
Formato: Artículo científico
Publicado: Universidad Autónoma Metropolitana Unidad Azcapotzalco 2010
Materias:
Economía y Finanzas
regime swiching
Phillips curve
inflationary expectations
Acceso en línea:http://www.redalyc.org/articulo.oa?id=41315994005
http://biblioteca.clacso.edu.ar/gsdl/cgi-bin/library.cgi?a=d&c=mx/mx-022&d=41315994005oai
Aporte de:
Red de Bibliotecas Virtuales de Ciencias Sociales (CLACSO) de Consejo Latinoamericano de Ciencias Sociales
id I16-R122-41315994005oai
record_format dspace
institution Consejo Latinoamericano de Ciencias Sociales
institution_str I-16
repository_str R-122
collection Red de Bibliotecas Virtuales de Ciencias Sociales (CLACSO)
topic Economía y Finanzas
regime swiching
Phillips curve
inflationary expectations
spellingShingle Economía y Finanzas
regime swiching
Phillips curve
inflationary expectations
Carolina Pagliacci
Daniel Barráez
A Markov-switching model of inflation: looking at the future during uncertain times
topic_facet Economía y Finanzas
regime swiching
Phillips curve
inflationary expectations
description 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.
format Artículo científico
Artículo científico
author Carolina Pagliacci
Daniel Barráez
author_facet Carolina Pagliacci
Daniel Barráez
author_sort Carolina Pagliacci
title A Markov-switching model of inflation: looking at the future during uncertain times
title_short A Markov-switching model of inflation: looking at the future during uncertain times
title_full A Markov-switching model of inflation: looking at the future during uncertain times
title_fullStr A Markov-switching model of inflation: looking at the future during uncertain times
title_full_unstemmed A Markov-switching model of inflation: looking at the future during uncertain times
title_sort markov-switching model of inflation: looking at the future during uncertain times
publisher Universidad Autónoma Metropolitana Unidad Azcapotzalco
publishDate 2010
url http://www.redalyc.org/articulo.oa?id=41315994005
http://biblioteca.clacso.edu.ar/gsdl/cgi-bin/library.cgi?a=d&c=mx/mx-022&d=41315994005oai
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