Measuring the Level and Uncertainty of Trend Inflation

• 成果类型: Article
• 署名作者: Mertens, Elmar
• 署名单位: Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/REST_a_00549
• 发表日期: 2016-12
• 页码: 950-967
• 关键词: beveridge-nelson decomposition; unit-root tests; term structure; time-series; expectations; INFORMATION; US; permanent; ECONOMICS

摘要

Firmly anchored inflation expectations are widely viewed as playing a central role for the conduct of monetary policy. This paper presents estimates of trend inflation, based on information contained in monthly data on realized inflation, survey expectations, and the term structure of interest rates. In order to assess whether inflation expectations are anchored, a timevarying volatility of trend shocks is estimated as well. While there is some commonality in inflation- and survey-based estimates of trend inflation, yield-based trend estimates embed a highly persistent component orthogonal to trend inflation. Trimmed-mean inflation rates and survey forecasts are most indicative of trend inflation.