This paper studies inflation persistence with time-varying coefficient autoregressions for twelve central European countries,in comparison with the United States and the euro area. Inflation persistence tends to be higher in times of high inflation. Since the oil price shocks, inflation...

This paper conducts a structural analysis of inflation persistence in the United Kingdom between 1965-2009. I allow for the possibility of shifts in the U.K. economy by estimating open-economy dynamic stochastic general equilibrium models in which parameters of a Taylor-type monetary policy...

We estimate a well-specified two-state regime-switching model for Danish stock returns. The model identifies two regimes which have low return-low volatility and high return-high volatility, respectively. The low return-low volatility regime dominated, except in a few, short episodes, until the...