Inflation Volatility with Regime Switching
提出一种新方法，在未观测成分随机波动框架中允许体制转换，以建模美国通胀动态。研究发现三体制模型表现最优，且自2000年第二季度以来美国通胀进入温和波动体制，波动主要来自暂时性冲击。
Abstract This paper presents a new approach to model U.S. inflation dynamics by allowing regime switching in an unobserved components stochastic volatility framework. We use a modified particle filter to construct likelihood and estimate the model using MLE. The number of regimes is determined based on a bootstrap. We find that a model with three regimes and regime‐dependent constant volatilities has superior performance. In addition, we show that since 2000:II, U.S. inflation has entered a regime with moderate volatility where most of the volatility comes from transitory shocks.