A Markov-switching model of inflation: looking at the future during uncertain times
In this paper, we analyze the dynamic of inflation in Venezuela, during the last eighteen years, through a Markov-switching estimation of a New Keynesian Phillips curve. Estimation is carried out using the EM algorithm. The model´s estimates distinguish between a "normal or backward looking&quo...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Universidad Autónoma Metropolitana
2010-01-01
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| Series: | Análisis Económico |
| Online Access: | http://www.redalyc.org/articulo.oa?id=41315994005 |
| _version_ | 1797282254452424704 |
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| author | Carolina Pagliacci Daniel Barráez |
| author_facet | Carolina Pagliacci Daniel Barráez |
| author_sort | Carolina Pagliacci |
| collection | DOAJ |
| description | In this paper, we analyze the dynamic of inflation in Venezuela, during the last eighteen years, through a Markov-switching estimation of a New Keynesian Phillips curve. Estimation is carried out using the EM algorithm. The model´s estimates distinguish between a "normal or backward looking" regime and a "rational expectation" regime consistent with episodes of high uncertainty regarding the performance of the economy. This characterization of regimes is based on two elements: the description of the process of formation of inflationary expectations and the main economic events occurred during each regime. |
| first_indexed | 2024-03-07T17:10:14Z |
| format | Article |
| id | doaj.art-de1c3ac7119d475ca408e326e3c48c5a |
| institution | Directory Open Access Journal |
| issn | 0185-3937 |
| language | English |
| last_indexed | 2024-03-07T17:10:14Z |
| publishDate | 2010-01-01 |
| publisher | Universidad Autónoma Metropolitana |
| record_format | Article |
| series | Análisis Económico |
| spelling | doaj.art-de1c3ac7119d475ca408e326e3c48c5a2024-03-03T01:21:08ZengUniversidad Autónoma MetropolitanaAnálisis Económico0185-39372010-01-0125592546A Markov-switching model of inflation: looking at the future during uncertain timesCarolina PagliacciDaniel BarráezIn this paper, we analyze the dynamic of inflation in Venezuela, during the last eighteen years, through a Markov-switching estimation of a New Keynesian Phillips curve. Estimation is carried out using the EM algorithm. The model´s estimates distinguish between a "normal or backward looking" regime and a "rational expectation" regime consistent with episodes of high uncertainty regarding the performance of the economy. This characterization of regimes is based on two elements: the description of the process of formation of inflationary expectations and the main economic events occurred during each regime.http://www.redalyc.org/articulo.oa?id=41315994005 |
| spellingShingle | Carolina Pagliacci Daniel Barráez A Markov-switching model of inflation: looking at the future during uncertain times Análisis Económico |
| title | A Markov-switching model of inflation: looking at the future during uncertain times |
| title_full | A Markov-switching model of inflation: looking at the future during uncertain times |
| title_fullStr | A Markov-switching model of inflation: looking at the future during uncertain times |
| title_full_unstemmed | A Markov-switching model of inflation: looking at the future during uncertain times |
| title_short | A Markov-switching model of inflation: looking at the future during uncertain times |
| title_sort | markov switching model of inflation looking at the future during uncertain times |
| url | http://www.redalyc.org/articulo.oa?id=41315994005 |
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