Evolving US monetary policy and the decline of inflation predictability
成果类型：
Article; Proceedings Paper
署名作者：
Benati, Luca; Surico, Paolo
刊物名称：
JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION
ISSN/ISSBN：
1542-4766
DOI：
10.1162/JEEA.2008.6.2-3.634
发表日期：
2008
页码：
634-646
关键词：
摘要：
Based on a structural VAR with time-varying parameters and stochastic volatility for the post-WWII U.S., we document a negative correlation between the evolution of the long-run coefficient on inflation in the structural monetary rule and the evolution of the persistence and predictability of inflation relative to a trend component. Using an estimated sticky-price model, we show that a more aggressive policy stance towards inflation causes a decline in inflation predictability.
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