the Phillips curve over time. We consider different specifications and different measures for inflation. Furthermore, we … include stochastic volatility for the observation errors. Our estimation results are based on practical Bayesian state space ….S. headline inflation has remained empirically relevant over the years. …

of US inflation using a model with time-varying mean and variance; we report significant improvements in the forecasting …

the observed time series. We develop a simulated maximum likelihood estimation method based on importance sampling and … applied to quarterly and monthly US inflation in an empirical study. We find that the persistence of quarterly inflation has … and density forecasts for monthly US inflation. …

consider the implications of a risk premium that arises from endogenous market segmentation driven by variable inflation rates …. In the absence of autocorrelation in inflation, the risk premium is constant. If inflation is correlated, however, the …

A key application of long memory time series models concerns inflation. Long memory implies that shocks have a long … such level shifts are not unlikely for inflation, where the shifts may be caused by sudden oil price shocks, we examine … exaggerated. Our main findings are that apparent longmemory is quite resistant to level shifts, although for a few inflation rates …

This paper investigates the international spillovers of government debt and the associated risk of inflation within a … inflation at the cost of the funded country. In response to these conflicting interests about inflation, inflation risk may rise … with the level of debt in the PAYG country. Higher inflation risk harms both countries. Actually, in contrast to the debt …