Do fluctuations in US inflation rates reflect infrequent large shocks or frequent small shocks?
成果类型：
Article
署名作者：
Bidarkota, PV
署名单位：
State University System of Florida; Florida International University
刊物名称：
REVIEW OF ECONOMICS AND STATISTICS
ISSN/ISSBN：
0034-6535
DOI：
10.1162/003465303322369894
发表日期：
2003-08
页码：
765-771
关键词：
摘要：
We investigate whether fluctuations in U.S. inflation rates are better described by infrequently occurring large shocks or by frequently occurring small shocks. We estimate a model that encompasses the two hypotheses within the framework of non-Gaussian state-space models. Our results indicate support for infrequently occurring large shocks, but this weakens somewhat once we allow for outliers and conditional heteroskedasticity. It appears that, for the purpose of forecasting monthly U.S. inflation rates, recognizing the distinction between frequent small shocks and infrequent large shocks does not matter much once outliers and conditional heteroskedasticity are,allowed for.
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