A0269
Title: Estimating trend inflation in a regime-switching Phillips curve
Authors: Jouchi Nakajima - Hitotsubashi University (Japan) [presenting]
Abstract: A regime-switching Phillips curve model is developed to estimate trend inflation. Extending the earlier work, trend inflation, the slope of the Phillips curve, and the oil price pass-through rate are allowed to follow a regime-switching process. An empirical analysis using Japan's consumer price index illustrates that including the oil price and its time-varying pass-through rate improves the model's ability to forecast inflation. The empirical results also show that the obtained trend inflation highly correlates with firms' inflation expectations.
