Do Fluctuations in U.S. Inflation Rates Reflect Infrequent Large Shocks or Frequent Small Shocks?
研究美国通胀率波动是由不频繁的大冲击还是频繁的小冲击引起，发现支持前者，但考虑异常值和条件异方差后证据减弱，且对预测影响不大。
We investigate whether fluctuations in U.S. inflation rates are better described by infrequently occurring large shocks or by frequently occurring small shocks. We estimate a model that encompasses the two hypotheses within the framework of non-Gaussian state-space models. Our results indicate support for infrequently occurring large shocks, but this weakens somewhat once we allow for outliers and conditional heteroskedasticity. It appears that, for the purpose of forecasting monthly U.S. inflation rates, recognizing the distinction between frequent small shocks and infrequent large shocks does not matter much once outliers and conditional heteroskedasticity are allowed for. © 2003 President and Fellows of Harvard College and the Massachusetts Institute of Technology.