Does the effect of monetary policy depend on the prevailing level of inflation? In order to answer this question, we … construct a parsimonious nonlinear time series model that allows for inflation regimes. We find that the effects of monetary … policy are markedly different when year-over-year inflation exceeds 5.5 percent. Below this threshold, changes in monetary …

In this paper, we estimate trend inflation in Sweden using an unobserved components stochastic volatility model. Using … data from 1995Q4 to 2021Q4 and Bayesian estimation methods, we find that trend inflation has been well-anchored during the … period - although in general at a level below the inflation target - and it does not appear to have been affected much by the …

Several central banks have adopted inflation targets. The implementation of these targets is flexible; the central … banks aim to meet the target over the long term but allow inflation to deviate from the target in the short-term in order to … ARFIMA model. Under the assumption that the central bankers control the long-run inflation rates, the fractional integration …