We use noncausal autoregressions to examine the persistence properties of quarterly U.S. consumer price inflation from … 1970:1.2012:2. These nonlinear models capture the autocorrelation structure of the inflation series as accurately as their … conventional causal counterparts, but they allow for persistence to depend on the size and sign of shocks to inflation as well as …

We propose a noncausal autoregressive model with time-varying parameters, and apply it to U.S. postwar inflation. The … model .fits the data well, and the results suggest that inflation persistence follows from future expectations. Persistence … curve indicate that current inflation also depends on past inflation although future expectations dominate. The implied …

characterization of the Australian GDP, German GDP and the USA GDP in the frames of the state-space model in Matlab. We also used the … Hodrick-Prescott filter to estimate the corresponding output gaps in Australia, Germany and the USA. We found that the … Australia, Germany on one side and the USA on other side have the different business cycles. We believe that the central banks …

One of the key elements for inflation targeting regime is the right identification of inflationary or disinflationary … unobserved component (MUC) model, relying on an explicit short run relation between the output gap and inflation rate (Phillips … to end of sample problems and exhibits closer dynamics with the inflation process than the standard output gap estimates …