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来源类型Working Paper
规范类型报告
DOI10.3386/w25987
来源IDWorking Paper 25987
Slack and Cyclically Sensitive Inflation
James H. Stock; Mark W. Watson
发表日期2019-06-24
出版年2019
语种英语
摘要We investigate the flattening Phillips relation by making two departures from standard specifications. First, we measure slack using real activity variables that are bandpass filtered or year-over-year changes in activity (these are similar), instead of gaps. Second, we study the components of inflation instead of the standard aggregates. We find that some inflation components have strong and stable correlations with the cyclical component of real activity; these components tend to be relatively well-measured and domestically determined. Other components, typically prices that are poorly measured or internationally determined, have weak and/or unstable correlations with cyclical activity. We construct a new inflation index, Cyclically Sensitive Inflation, that weights the components by their joint cyclical covariation with real activity. The index has strong and stable correlations with cyclical activity and provides a real-time measure of cyclical movements in inflation.
主题Macroeconomics ; Business Cycles
URLhttps://www.nber.org/papers/w25987
来源智库National Bureau of Economic Research (United States)
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条目标识符http://119.78.100.153/handle/2XGU8XDN/583661
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GB/T 7714
James H. Stock,Mark W. Watson. Slack and Cyclically Sensitive Inflation. 2019.
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