Guerrero, Guillaume; Million, Nicolas - Maison des Sciences Économiques, Université Paris 1 … - 2004
This paper proposes a new empirical representation of inflation expectations errors in a Space-State Markov …-Switching framework. We explicitly identify the dynamics of inflation expectation errors using the expectations augmented Markov …-Switching Phillips curve as a measurement equation. In this paper we consider expected inflation as the underlying component of observed …