Does Output Gap, Labour's Share or Unemployment Rate Drive Inflation?
提出一种新方法，通过贝叶斯模型选择在受限VAR模型中比较产出缺口、劳动份额和失业率作为美国通胀驱动因素的概率，发现三者均非主要驱动因素。
Abstract We propose a new methodology for ranking in probability the commonly proposed drivers of inflation in the new Keynesian model. The approach is based on Bayesian model selection among restricted vector autoregressive (VAR) models, each of which embodies only one or none of the candidate variables as the driver. Simulation experiments suggest that our procedure is superior to the previously used conventional pairwise Granger causality tests in detecting the true driver. Empirical results lend little support to labour share, output gap or unemployment rate as the driver of US inflation.