Details

Autor(en) / Beteiligte

• Cogley, Timothy
• Primiceri, Giorgio E.
• Sargent, Thomas J.

Titel

Inflation-Gap Persistence in the US

Ist Teil von

• American economic journal. Macroeconomics, 2010-01, Vol.2 (1), p.43-69

Ort / Verlag

Pittsburgh: American Economic Association

Erscheinungsjahr

2010

Link zum Volltext

Quelle

Alma/SFX Local Collection

Beschreibungen/Notizen

• 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 bank's inflation target.