Modeling U.S. Inflation Dynamics: A Bayesian Nonparametric Approach

Markus Jochmann

Research output: Working paperDiscussion paper

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This paper uses an infinite hidden Markov model (IHMM) to analyze U.S. inflation dynamics with a particular focus on the persistence of inflation. The IHMM is a Bayesian nonparametric approach to modeling structural breaks. It allows for an unknown number of breakpoints and is a flexible and attractive alternative to existing methods. We found a clear structural break during the recent financial crisis. Prior to that, inflation persistence was high and fairly constant.
Original languageEnglish
Place of PublicationGlasgow
PublisherUniversity of Strathclyde
Number of pages25
Publication statusPublished - Jan 2010


  • inflation dynamics
  • hierarchical dirichlet process
  • ihmm
  • structural breaks
  • bayesian nonparametrics


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