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Trend Inflation in Sweden

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Abstract
In this paper, we estimate trend inflation in Sweden using an unobserved components stochastic volatility model. Using data from 1995Q4 to 2021Q4 and Bayesian estimation methods, we find that trend inflation has been well-anchored during the period – although in general at a level below the inflation target – and it does not appear to have been affected much by the recent high inflation numbers.

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  • Österholm, Pär & Poon, Aubrey, 2022. "Trend Inflation in Sweden," Working Papers 2022:2, Örebro University, School of Business.
    • Handle: RePEc:hhs:oruesi:2022_002
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    References listed on IDEAS

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    1. Juan Angel Garcia & Aubrey Poon, 2022. "Inflation trends in Asia: implications for central banks [Are Phillips curves useful for forecasting inflation?]," Oxford Economic Papers, Oxford University Press, vol. 74(3), pages 671-700.
    2. Joshua C.C. Chan & Todd E. Clark & Gary Koop, 2018. "A New Model of Inflation, Trend Inflation, and Long‐Run Inflation Expectations," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(1), pages 5-53, February.
    3. Meredith Beechey & Pär Österholm, 2012. "The Rise and Fall of U.S. Inflation Persistence," International Journal of Central Banking, International Journal of Central Banking, vol. 8(3), pages 55-86, September.
    4. Todd E. Clark, 2011. "Real-Time Density Forecasts From Bayesian Vector Autoregressions With Stochastic Volatility," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 29(3), pages 327-341, July.
    5. James H. Stock & Mark W. Watson, 2007. "Why Has U.S. Inflation Become Harder to Forecast?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(s1), pages 3-33, February.
    6. Marco Del Negro & Giorgio E. Primiceri, 2015. "Time Varying Structural Vector Autoregressions and Monetary Policy: A Corrigendum," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 82(4), pages 1342-1345.
    7. Clark, Todd E. & Doh, Taeyoung, 2014. "Evaluating alternative models of trend inflation," International Journal of Forecasting, Elsevier, vol. 30(3), pages 426-448.
    8. James H. Stock & Mark W. Watson, 2007. "Why Has U.S. Inflation Become Harder to Forecast?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(s1), pages 3-33, February.
    9. James H. Stock & Mark W. Watson, 2007. "Erratum to “Why Has U.S. Inflation Become Harder to Forecast?”," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(7), pages 1849-1849, October.
    10. James H. Stock & Mark W. Watson, 2007. "Why Has U.S. Inflation Become Harder to Forecast?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(s1), pages 3-33, February.
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    Cited by:

    1. Beechey, Meredith & Österholm, Pär & Poon, Aubrey, 2023. "Estimating the US trend short-term interest rate," Finance Research Letters, Elsevier, vol. 55(PA).

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    Keywords

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    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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