| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w13749 |
| 来源ID | Working Paper 13749 |
| Inflation-Gap Persistence in the U.S. | |
| Timothy Cogley; Giorgio E. Primiceri; Thomas J. Sargent | |
| 发表日期 | 2008-01-22 |
| 出版年 | 2008 |
| 语种 | 英语 |
| 摘要 | We use Bayesian methods to estimate two models of post WWII U.S. inflation rates with drifting stochastic volatility and drifting coefficients. One model is univariate, the other a multivariate autoregression. We define the inflation gap as the deviation of inflation from a pure random walk component of inflation and use both of our models to study changes over time in the persistence of the inflation gap measured in terms of short- to medium-term predicability. We present evidence that our measure of the inflation-gap persistence increased until Volcker brought mean inflation down in the early 1980s and that it then fell during the chairmanships of Volcker and Greenspan. Stronger evidence for movements in inflation gap persistence emerges from the VAR than from the univariate model. We interpret these changes in terms of a simple dynamic new Keynesian model that allows us to distinguish altered monetary policy rules and altered private sector parameters. |
| 主题 | Econometrics ; Estimation Methods ; Macroeconomics ; Business Cycles ; Monetary Policy |
| URL | https://www.nber.org/papers/w13749 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/571423 |
| 推荐引用方式 GB/T 7714 | Timothy Cogley,Giorgio E. Primiceri,Thomas J. Sargent. Inflation-Gap Persistence in the U.S.. 2008. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w13749.pdf（7106KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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