Multivariate Trend Inflation in the United States and the Euro Area
Bibliographic Data
| ID | 21653511 |
|---|---|
| Authors | Max-Sebastian Dovì (0000-0002-4145-5963, International Monetary Fund, corresponding author), Max‐Sebastian Dovì (International Monetary Fund Washington, DC USA) |
| Year | 2026 |
| Publication date | 2026-06-01 |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Journal of Applied Econometrics (JOURNAL) |
| Journal identifiers | ISSN: 1099-1255 • E-ISSN: 0883-7252 |
| Publisher | Wiley (PUBLISHER • GB) |
| DOI | 10.1002/jae.70064 |
| OpenAlex | W7163082116 |
| Language | EN |
| References cited | 7 |
I provide a precision‐sampler‐based replication of the multivariate unobserved component stochastic volatility outlier‐adjusted model of Stock and Watson (2016) applied to inflation in the United States and the Euro Area (EA). I find a substantial post‐2020 increase in trend inflation for both the United States and the EA, and estimate end‐2024 trend inflation at 2.3 and 2.0 percent, respectively
Cointegration · Multivariate statistics · Stochastic volatility · Watson · Financial Risk and Volatility Modeling · Italy: Economic History and Contemporary Issues · Monetary Policy and Economic Impact
| Highly cited | No |
|---|