This paper uses an econometric model and Bayesian estimation to reverse engineer the path of inflation expectations … common measures of expected inflation available from surveys or computed from financial data. In particular, they exhibit the … strongest correlation with the inflation forecasts of the respondents in the University of Michigan Survey of Consumers. The …

.S. inflation. We examine the overall performance of Phillips curves relative to some well-known benchmarks, the efficiency with … which the Federal Reserve’s Greenbook forecasts of inflation use real activity information, and shifts in the key … determinants of the reduced-form triangle modelʺ of inflation. We develop a structural model-based interpretation of observed …

This paper constructs regime-switching models for estimating the probability of inflation returning to its relatively … inflation, combining the recent non-parametric forecast error distribution with parametric information from the model. The outer … tails of the prediction intervals depend importantly on the probability inflation is in its high-variance, high …

.S. inflation. We examine the overall performance of Phillips curves relative to some well-known benchmarks, the efficiency with … which the Federal Reserve's Greenbook forecasts of inflation use real activity information, and shifts in the key … determinants of the reduced-form 'triangle model' of inflation. We develop a structural model-based interpretation of observed …