This paper discusses estimation of US inflation volatility using time varying parameter models, in particular whether … it should be modelled as a stationary or random walk stochastic process. Specifying inflation volatility as an unbounded … economic slowdowns or changes of the Federal Reserve Chair. Moreover, a decomposition of inflation shocks into permanent and …

Inflation volatility is clearly important for structural analysis, forecasting and policy purposes, yet it is often … overlooked in the literature. This paper compares inflation volatility among advanced open economies with inflation targeting …, the volatility of inflation was similar among countries, even when controlling for monetary policy activity and other …

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. …

show that this framework is able to explain the positive relationship between the steady state level of inflation and … business cycle inflation volatility observable in the data. In addition, we contribute to the theoretical literature by … prove that the monotonic relationship between steady state inflation level and business cycle inflation volatility holds …

The uncertainty of U.S. core inflation, measured by the stochastic volatility of forecast errors, has soared to a level … increase after a positive shock to core inflation uncertainty in a vector autoregression. Endogenous changes in household … inflation expectations help to understand the transmission mechanism through which an inflation uncertainty shock generates …

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 …

In this paper we study 2-state Markov switching VAR models of monthly unemployment and inflation for three countries …: Sweden, United Kingdom, and the United States. The primary purpose is to examine if periods of low inflation are associated … variance in unemployment. In the U.S. case we find that the variance of unemployment is lower in the low inflation regime than …

Historians have suggested there were waves of inflation or price revolutions in the UK (and earlier England) in the 13 …th, 16th, and 18th centuries, prior to the ongoing inflation since 1914. We study retail price inflation since 1251 and … volatility. The long-horizon forecasts suggest only one inflation wave, that of the 20th century. We also use the model to …

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. …