A Model of the Fed's View on Inflation

被引：26

作者：

Hasenzagl, Thomas ^{[1
]}

Pellegrino, Filippo ^{[2
]}

Reichlin, Lucrezia ^{[3
,4
,5
]}

Ricco, Giovanni ^{[5
,6
,7
]}

机构：

[1] Univ Minnesota, Minneapolis, MN 55455 USA

[2] London Sch Econ & Polit Sci, London, England

[3] London Business Sch, London, England

[4] Now Casting Econ, London, England

[5] CEPR, Washington, DC USA

[6] Univ Warwick, Coventry, W Midlands, England

[7] OFCE SciencesPo, Paris, France

来源：

REVIEW OF ECONOMICS AND STATISTICS | 2022年 / 104卷 / 04期

关键词：

ECONOMIC TIME-SERIES; OIL PRICE SHOCKS; BAYESIAN-ANALYSIS; US INFLATION; DYNAMICS; EXPECTATIONS; OUTPUT; UNCERTAINTY; DEMAND; CYCLES;

D O I：

10.1162/rest_a_00974

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We develop a medium-size semistructural 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.

引用

页码：686 / 704

页数：19

共 71 条

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