Related papers: Latent Variable Phillips Curve
Many problems plague empirical Phillips curves (PCs). Among them is the hurdle that the two key components, inflation expectations and the output gap, are both unobserved. Traditional remedies include proxying for the absentees or…
We re-estimate statistical properties and predictive power of a set of Phillips curves, which are expressed as linear and lagged relationships between the rates of inflation, unemployment, and change in labour force. For France, several…
Continuous latent variables (LVs) are a key ingredient of many generative models, as they allow modelling expressive mixtures with an uncountable number of components. In contrast, probabilistic circuits (PCs) are hierarchical discrete…
Probabilistic Circuits (PCs) are a unified framework for tractable probabilistic models that support efficient computation of various probabilistic queries (e.g., marginal probabilities). One key challenge is to scale PCs to model large and…
The conventional linear Phillips curve model, while widely used in policymaking, often struggles to deliver accurate forecasts in the presence of structural breaks and inherent nonlinearities. This paper addresses these limitations by…
We develop a medium-size semi-structural time series model of inflation dynamics that is consistent with the view - often expressed by central banks - that three components are important: a trend anchored by long-run expectations, a…
Probabilistic integral circuits (PICs) have been recently introduced as probabilistic models enjoying the key ingredient behind expressive generative models: continuous latent variables (LVs). PICs are symbolic computational graphs defining…
A quantitative model is presented linking the rate of inflation and unemployment to the change in the level of labor force. The link between the involved variables is a linear one with all coefficients of individual and generalized models…
We develop a unified microeconomic and monetary theory of artificial intelligence inference costs and their pass-through to inflation, welfare, and optimal monetary policy. We introduce the Inference-Cost Phillips Curve (ICPC), an augmented…
I study a static textbook model of monetary policy and relax the conventional assumption that the private sector has rational expectations. Instead, the private sector forms inflation forecasts according to a misspecified subjective model…
In this paper, a mathematical model based on the one-parameter Mittag-Leffler function is proposed to be used for the first time to describe the relation between unemployment rate and inflation rate, also known as the Phillips curve. The…
This paper proposes probabilistic conformal prediction (PCP), a predictive inference algorithm that estimates a target variable by a discontinuous predictive set. Given inputs, PCP construct the predictive set based on random samples from…
In this paper, we present a robust adaptive model predictive control (MPC) scheme for linear systems subject to parametric uncertainty and additive disturbances. The proposed approach provides a computationally efficient formulation with…
There is by now a large consensus in modern monetary policy. This consensus has been built upon a dynamic general equilibrium model of optimal monetary policy as developed by, e.g., Goodfriend and King (1997), Clarida et al. (1999),…
Robust inflation measures gauge inflation behavior by excluding volatile expenditure categories from headline inflation. We evaluate the forecasting performance of a wide set of such measures between 1970 and 2024, including core, median,…
This paper applies a recurrent neural network, the LSTM, to forecast inflation. This is an appealing model for time series as it processes each time step sequentially and explicitly learns dynamic dependencies. The paper also explores the…
This paper examines the drivers of CPI inflation through the lens of a simple, but computationally intensive machine learning technique. More specifically, it predicts inflation across 20 advanced countries between 2000 and 2021, relying on…
In many scientific disciplines, the features of interest cannot be observed directly, so must instead be inferred from observed behaviour. Latent variable analyses are increasingly employed to systematise these inferences, and Principal…
This paper proposes a new, Beveridgean model of the Phillips curve. While the New Keynesian Phillips Curve is based on monopolistic pricing under price-adjustment costs, the Beveridgean Phillips curve is based on directed-search pricing…
This paper proposes an adaptive stochastic Model Predictive Control (MPC) strategy for stable linear time invariant systems in the presence of bounded disturbances. We consider multi-input multi-output systems that can be expressed by a…