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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| Autores principales: | , |
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| Formato: | Artículo científico |
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Universidad Autónoma Metropolitana Unidad Azcapotzalco
2010
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| 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 |
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| Sumario: | 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. |
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