A model of the Fed's view on inflation
Hasenzagl, T., Pellegrino, F., Reichlin, L. & Ricco, G.
(2022).
A model of the Fed's view on inflation.
Review of Economics and Statistics,
104(4), 686 - 704.
https://doi.org/10.1162/rest_a_00974
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.
| Item Type | Article |
|---|---|
| Copyright holders | © 2022 The President and Fellows of Harvard College and the Massachusetts Institute of Technology. |
| Departments | LSE > Academic Departments > Statistics |
| DOI | 10.1162/rest_a_00974 |
| Date Deposited | 20 Jul 2022 |
| Acceptance Date | 18 Aug 2020 |
| URI | https://researchonline.lse.ac.uk/id/eprint/115611 |
Explore Further
- https://www.lse.ac.uk/Statistics/People/Filippo-Pellegrino (Author)
- https://www.scopus.com/pages/publications/85133807927 (Scopus publication)
- https://direct.mit.edu/rest (Official URL)
- Pellegrino, F., Hasenzagl, T., Reichlin, L. & Ricco, G. (2020). Replication Data for: A Model of the Fed’s View on Inflation. [Dataset]. Harvard Dataverse. https://doi.org/10.7910/dvn/xyz1na