Ho, Kang Kyu; Chang-Jin, Kim; James, Morley - In: Studies in Nonlinear Dynamics & Econometrics 13 (2009) 4, pp. 1-23
We investigate the existence and timing of changes in U.S. inflation persistence. To do so, we develop an unobserved components model of inflation with Markov-switching parameters and we measure persistence using impulse response functions based on the model. An important feature of our model is...