Inflation dynamics: A cross-country investigation

• 成果类型: Article
• 署名作者: Wang, Pengfei; Wen, Yi
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - St. Louis; Cornell University
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2006.07.007
• 发表日期: 2007
• 页码: 2004-2031
• 关键词: sticky information; sticky prices; inflation dynamics; inflation comovement; money

摘要

We document that persistent and lagged inflation (with respect to output) is a world-wide phenomenon in that these short-run inflation dynamics are highly synchronized across countries. In particular, the average cross-country correlation of inflation is significantly and systematically stronger than that of output, while the cross-country correlation of money growth is essentially zero. We investigate whether standard monetary models driven by monetary shocks are consistent with the empirical facts. We find that neither the new Keynesian sticky-price model nor the sticky-information model can fully explain the data. An independent contribution of the paper is to provide a simple solution technique for solving general equilibrium models with sticky information. (c) 2006 Elsevier B.V. All rights reserved.