Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/103198 
Erscheinungsjahr: 
2014
Schriftenreihe/Nr.: 
DEP (Socioeconomics) Discussion Papers - Macroeconomics and Finance Series No. 3/2014
Verlag: 
Hamburg University, Department Socioeconomics, Hamburg
Zusammenfassung: 
We employ a money-based early warning model in order to analyse the risk of a low inflation regime in the euro area, Japan and the US. The model specification allows for three different inflation regimes: Low, Medium and High inflation, while state transition probabilities vary over time as a function of monetary variables. Using Bayesian techniques, we estimate the model with data from the early 1970s up to the present. Our analysis suggests that the risks of a Low inflation regime in the euro area have been increasing in the course of the last six quarters of the sample; moreover, money growth appears to play a significant role in the assessment of such risks. Evidence for Japan and the US, on the other hand, shows that the inclusion of a monetary indicator variable does not substantially change the assessment of the risk of a Low inflation regime in either of the two countries.
Schlagwörter: 
Money growth
deflation
inflation regimes
Markov Switching models
Bayesian inference
JEL: 
C11
C53
E31
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
586.86 kB





Publikationen in EconStor sind urheberrechtlich geschützt.