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趋势通胀、NAIRU 与菲利普斯曲线时变性的有界模型AI 解读

In this paper, we develop a bivariate unobserved components model for inflation and unemployment. The unobserved components are trend inflation and the non-accelerating inflation rate of unemployment (NAIRU). Our model also incorporates a time-varying Phillips curve and time-varying inflation persistence. What sets this paper apart from the existing literature is that we do not use unbounded random walks for the unobserved components, but rather bounded random walks. For…

This paper develops a new approach to change-point modelling that allows the number of change-points in the observed sample to be unknown. The model we develop assumes that regime durations have a Poisson distribution. It approximately nests the two most common approaches: the time-varying parameter (TVP) model with a change-point every period and the change-point model with a small number of regimes. We focus considerable attention on the construction of reasonable…

Many modelling issues and policy debates in macroeconomics depend on whether macroeconomic time series are best characterized as linear or nonlinear. If departures from linearity exist, it is important to know whether these are endogenously generated (as in, e.g. a threshold autoregressive model) or whether they merely reflect changing structure over time. In this paper, we discuss a model comparison methodology which addresses these issues. We advocate a Bayesian approach…

美国失业率的动态非对称性AI 解读

The authors examine dynamic asymmetries in U.S. unemployment using nonlinear time series models and Bayesian methods. They find strong statistical evidence in favor of a two-regime threshold autoregressive model. Empirical results indicate that, once parameter and model uncertainty are both taken into account, there are economically interesting asymmetries in the unemployment rate. One finding of particular interest is that shocks that lower the unemployment rate tend to…

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