Do expected future marginal costs drive inflation dynamics?

• 成果类型: Article
• 署名作者: Sbordone, AM
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - New York
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2005.08.010
• 发表日期: 2005
• 页码: 1183-1197
• 关键词: inflation; New keynesian pricing; marginal costs

摘要

This article discusses a more general interpretation of the two-step minimum distance estimation procedure proposed in Sbordone (2002). The estimator is again applied to a version of the New Keynesian Phillips curve, where inflation dynamics are driven by the expected evolution of marginal costs. The article clarifies econometric issues, addresses concerns about uncertainty and model misspecification raised in recent studies, and assesses the robustness of previous results. While confirming the importance of forward-looking terms in accounting for inflation dynamics, it suggests how the methodology can be applied to extend the analysis of inflation to a multivariate setting. (c) 2005 Elsevier B.V. All rights reserved.