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A model of the Fed’s view on inflation
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Hasenzagl, Thomas, Pellegrino, Filippo, Reichlin, Lucrezia and Ricco, Giovanni (2022) A model of the Fed’s view on inflation. The Review of Economics and Statistics, 104 (4). pp. 686-704. doi:10.1162/rest_a_00974 ISSN 0034-6535.
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Official URL: https://doi.org/10.1162/rest_a_00974
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: | Journal Article | ||||||||
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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 | ||||||||
Library of Congress Subject Headings (LCSH): | Inflation (Finance), Inflation (Finance) -- Mathematical models, Phillips curve , Bayesian statistical decision theory | ||||||||
Journal or Publication Title: | The Review of Economics and Statistics | ||||||||
Publisher: | MIT Press | ||||||||
ISSN: | 0034-6535 | ||||||||
Official Date: | 1 July 2022 | ||||||||
Dates: |
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Volume: | 104 | ||||||||
Number: | 4 | ||||||||
Page Range: | pp. 686-704 | ||||||||
DOI: | 10.1162/rest_a_00974 | ||||||||
Status: | Peer Reviewed | ||||||||
Publication Status: | Published | ||||||||
Reuse Statement (publisher, data, author rights): | This is the author’s final version, and that the article has been accepted for publication in The Review of Economics and Statistics | ||||||||
Access rights to Published version: | Restricted or Subscription Access | ||||||||
Date of first compliant deposit: | 27 August 2020 | ||||||||
Date of first compliant Open Access: | 27 August 2020 | ||||||||
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