A Markov-switching model of inflation: looking at the future during uncertain times

Autores/as

  • Carolina Pagliacci Banco Central de Venezuela
  • Daniel Barráez Banco Central de Venezuela

Palabras clave:

regime switching, Phillips curve, inflationary expectations

Resumen

In this paper, we analyze the dynamic of inflation in Venezuela, during the last eighteen years, through a Markov-switching estimation of a New Keynesian Phillips curve. Estimation is carried out using the EM algorithm. The model’s estimates distinguish between a “normal or backward looking” regime and a “rational expectation” regime consistent with episodes of high uncertainty regarding the performance of the economy. This characterization of regimes is based on two elements: the description of the process of formation of inflationary expectations and the main economic events occurred during each regime.

JEL classification: C29, E31, D84

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Biografía del autor/a

Carolina Pagliacci, Banco Central de Venezuela

Senior Researcher at the Banco Central de Venezuela

Daniel Barráez, Banco Central de Venezuela

Senior Researcher at the Banco Central de Venezuela and Professor at the Universidad Central de Venezuela.

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Publicado

2018-12-07

Cómo citar

Pagliacci, C., & Barráez, D. (2018). A Markov-switching model of inflation: looking at the future during uncertain times. Análisis Económico, 25(59), 25–46. Recuperado a partir de https://analisiseconomico.azc.uam.mx/index.php/rae/article/view/302

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