The formation of inflation expectations under changing inflation regimes

Working paper no 4, 2002

Authors Dahl, Christian M.; Hansen, Niels Lynggård
Subject Danish Economy; Inflation, wages and prices
Type Working paper
Year 2002
Published 20 June 2002
The present paper offers a careful description of empirical identification of possible multiple changes in regime. We apply recently developed tools designed to select between regime-switching models among a broad class of linear and nonlinear regression models and provide a discussion of the impact on the formation of inflation expectations in the presence of multiple and recurrent changes in inflation regimes.