Relative Goods' Prices, Pure Inflation, and The Phillips Correlation

• 成果类型: Article
• 署名作者: Reis, Ricardo; Watson, Mark W.
• 署名单位: Columbia University; Princeton University; Princeton University
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.2.3.128
• 发表日期: 2010
• 页码: 128-157
• 关键词: sticky prices; number

摘要

This paper uses a dynamic factor model for the quarterly changes in consumption goods' prices in the United States since 1959 to separate them into three independent components: idiosyncratic relative-price changes, a low-dimensional index of aggregate relative-price changes, and an index of equiproportional changes in all inflation rates that we label pure inflation. We use the estimates to answer two questions. First, what share of the variability of inflation is associated with each component, and how are they related to conventional measures of monetary policy and relative-price shocks? Second, what drives the Phillips correlation between inflation and measures of real activity? (JEL E21, E23, E31, E52)