可预测性
膨胀(宇宙学)
经济
波动性(金融)
凯恩斯经济学
计量经济学
随机波动
实际利率
货币政策
数学
统计
物理
理论物理学
作者
James M. Nason,Gregor W. Smith
摘要
Abstract Historians have suggested that there were waves of inflation or price revolutions in the United Kingdom (and earlier England) in the 13th, 16th, and 18th centuries, prior to the ongoing inflation since 1935. We study retail price inflation since 1251 and model its dynamics. The model is an AR( n ) but allows for gradually evolving or drifting parameters and stochastic volatility. The long‐horizon forecasts suggest only one inflation wave, that of the 20th century. We also use the model to measure inflation predictability and price‐level instability from the beginning of the sample and to provide measures of real interest rates since 1695.
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