segunda-feira, março 04, 2013

Leitura do Dia - A New Model of Trend Inflation

A New Model of Trend Inflation

Joshua C. C. Chan
Australian National University (ANU)

Gary Koop
University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics

Simon Potter
Federal Reserve Bank of New York

February 2012

This paper introduces a new model of trend (or underlying) inflation. In contrast to many earlier approaches, which allow for trend inflation to evolve according to a random walk, ours is a bounded model which ensures that trend inflation is constrained to lie in an interval. The bounds of this interval can either be fixed or estimated from the data. Our model also allows for a time varying degree of persistence in the transitory component of inflation. The bounds placed on trend inflation mean that standard econometric methods for estimating linear Gaussian state space models cannot be used and we develop a posterior simulation algorithm for estimating the bounded trend inflation model. In an empirical exercise with CPI inflation we find the model to work well, yielding more sensible measures of trend inflation and forecasting better than popular alternatives such as the unobserved components stochastic volatility model.

Keywords: constrained inflation, non-linear state space model, underlying inflation, inflation targeting, inflation forecasting, Bayesian

Artigo (forthcoming no JBES) muito interessante sobre uma nova metodologia de estimação de trend inflation. Lembro de um artigo meu que estava perdido sobre estimação de persistência de inflação para o Brasil, usando um modelo tvp-garch. Estava.