A Model of the Fed's View on Inflation

• 成果类型: Article
• 署名作者: Hasenzagl, Thomas; Pellegrino, Filippo; Reichlin, Lucrezia; Ricco, Giovanni
• 署名单位: University of Minnesota System; University of Minnesota Twin Cities; University of London; London School Economics & Political Science; University of London; London Business School; Center for Economic & Policy Research (CEPR); University of Warwick
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/rest_a_00974
• 发表日期: 2022-07
• 页码: 686-704
• 关键词: economic time-series; oil price shocks; bayesian-analysis; us inflation; DYNAMICS; expectations; output; uncertainty; demand; cycles

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.