Imperfect credibility and inflation persistence

• 成果类型: Article
• 署名作者: Erceg, CJ; Levin, AT
• 署名单位: Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/S0304-3932(03)00036-9
• 发表日期: 2003
• 页码: 915-944
• 关键词: Monetary policy; disinflation; sacrifice ratio; Signal extraction

摘要

In this paper, we formulate a dynamic general equilibrium model with staggered nominal contracts, in which households and firms use optimal filtering to disentangle persistent and transitory shifts in the monetary policy rule. The calibrated model accounts quite well for the dynamics of output and inflation during the Volcker disinflation, and implies a sacrifice ratio very close to the estimated value. Our approach indicates that inflation persistence and substantial costs of disinflation can be generated in an optimizing-agent framework, without relaxing the assumption of rational expectations or relying on arbitrary modifications to the aggregate supply relation. (C) 2003 Elsevier Science B.V. All rights reserved.