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Data for A model of the Fed's view on inflation
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Hasenzagl, Thomas, Pellegrino, Filippo, Reichlin, Lucrezia and Ricco, Giovanni (2021) Data for A model of the Fed's view on inflation. [Dataset]
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Official URL: https://doi.org/10.7910/DVN/XYZ1NA
Abstract
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 Phillips curve and temporary fluctuations in energy prices. We find that a stable long-term inflation trend and a well identified steep Phillips curve are consistent with the data, but they imply potential output declining since the new millennium and energy prices affecting headline inflation not only via the Phillips curve but also via an independent expectational channel.
| Item Type: | Dataset | |||||||||
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| Subjects: | H Social Sciences > HD Industries. Land use. Labor H Social Sciences > HG Finance Q Science > QA Mathematics |
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| Divisions: | Faculty of Social Sciences > Economics | |||||||||
| Type of Data: | Modelling data | |||||||||
| Library of Congress Subject Headings (LCSH): | Inflation (Finance), Inflation (Finance) -- Mathematical models, Phillips curve, Bayesian statistical decision theory | |||||||||
| Publisher: | University of Warwick, Department of Economics | |||||||||
| Official Date: | 10 March 2021 | |||||||||
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| Status: | Not Peer Reviewed | |||||||||
| Publication Status: | Published | |||||||||
| Media of Output (format): | .tab .jl .csv | |||||||||
| Access rights to Published version: | Open Access | |||||||||
| Copyright Holders: | University of Warwick | |||||||||
| Description: | Data record consists of replication code in .tab and .jl format, data in .csv format, and an accompanying readme file. Further information on specific data can be found in the accompanying readme file. |
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