Inflation Expectations and Inflation Persistence
使用美国通胀的马尔可夫转换模型，发现通胀持续性越高，通胀均值水平和不确定性也越高；通胀预期上升预示着进入高持续性通胀状态的可能性增大，可作为预警指标。
Abstract This paper examines the relationship between inflation expectations and inflation persistence. Using a Markov‐switching model of U.S. inflation, we first show that higher inflation persistence is associated with a higher mean level of inflation and greater inflation uncertainty. Moreover, we obtain evidence that an increase in inflation expectations predicts the greater likelihood of being in a regime with highly persistent inflation. Thus, inflation expectations serve as an early warning indicator of the risk of persistently high inflation.