Inflation-Gap Persistence in the US

• 成果类型: Article
• 署名作者: Cogley, Timothy; Primiceri, Giorgio E.; Sargent, Thomas J.
• 署名单位: New York University; Northwestern University; National Bureau of Economic Research; Stanford University
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.2.1.43
• 发表日期: 2010
• 页码: 43-69
• 关键词: monetary-policy; indeterminacy; beliefs; utility

摘要

We estimate vector autoregressions with drifting coefficients and stochastic volatility to investigate whether US inflation persistence has changed. We focus on the inflation gap, defined as the difference between inflation and trend inflation, and we measure persistence in terms of short- to medium-term predictability. We present evidence that inflation-gap persistence increased during the Great Inflation and that it fell after the Volcker disinflation. We interpret these changes using a dynamic new Keynesian model that highlights the importance of changes in the central hank's inflation target. (JEL E12, E31, E52, E58)