money growth and inflation appears to be nonlinear, as our estimation results identify multiple inflation regimes displaying … relationship between money growth and inflation in a Bayesian Markov Switching framework for a set of four countries, the US, the … UK, the Euro area and Japan, over an estimation period spanning from 1960 to 2012. We find that the relationship between …

In this paper we propose a model for monthly inflation with stochastic trend, seasonal and transitory components with …, the uncertainty associated with these components may increase with the level of inflation as postulated by Friedman. We … experiments. Finally, we use auxiliary residuals to detect conditional heteroscedasticity in monthly inflation series of eight …

This paper is an empirical study of the links between monetary variables and inflation based on Cagan`s equation and … differenced model overcomes Evans` critique of this test and that chronic inflation is essentially a monetary phenomenon caused by …

stationarity, and mixed evidence regarding inflation stationarity. …

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. …

developed here to test for unit roots in OECD panels of gross domestic products and inflation rates, yielding inference robust … to the `Great Moderation.' We find little evidence of trend stationarity, and mixed evidence regarding inflation …

This paper investigates multivariate Beveridge-Nelson decomposition of key macro aggregate data. We find (a) inflation … concern about the convention that the non-stationary data is detrended in standard DSGE-type structural estimation, in the …

strategies may be well described by Taylor rules with a time-varying inflation target, a time-varying natural rate of … benchmark model that does not account for changes in trend inflation and trend unemployment. …

estimation of the state vector and of the time-varying parameters. We use this method to study the time-varying relationship …