Core Inflation and Trend Inflation

• 成果类型: Article
• 署名作者: Stock, James H.; Watson, Mark W.
• 署名单位: Harvard University; National Bureau of Economic Research; Princeton University
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/REST_a_00608
• 发表日期: 2016-10
• 页码: 770-784
• 关键词: stochastic volatility; likelihood inference; prices

摘要

This paper examines empirically whether the measurement of trend inflation can be improved by using disaggregated data on sectoral inflation to construct indexes akin to core inflation but with a time-varying distributed lags of weights, where the sectoral weight depends on the timevarying volatility and persistence of the sectoral inflation series and on the comovement among sectors. The modeling framework is a dynamic factor model with time-varying coefficients and stochastic volatility as in Del Negro and Otrok (2008), and is estimated using U.S. data on seventeen components of the personal consumption expenditure inflation index.