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Download or read book Time-varying US Inflation Dynamics and the New Keynesian Phillips Curve written by and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Laurence M. Ball
Publisher : International Monetary Fund
ISBN 13 : 1455263389
Total Pages : 58 pages
Book Rating : 4.4/5 (552 download)
Download or read book Inflation Dynamics and the Great Recession written by Laurence M. Ball and published by International Monetary Fund. This book was released on 2011-06-01 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines inflation dynamics in the United States since 1960, with a particular focus on the Great Recession. A puzzle emerges when Phillips curves estimated over 1960-2007 are ussed to predice inflation over 2008-2010: inflation should have fallen by more than it did. We resolve this puzzle with two modifications of the Phillips curve, both suggested by theories of costly price adjustment: we measure core inflation with the median CPI inflation rate, and we allow the slope of the Phillips curve to change with the level and vairance of inflation. We then examine the hypothesis of anchored inflation expectations. We find that expectations have been fully "shock-anchored" since the 1980s, while "level anchoring" has been gradual and partial, but significant. It is not clear whether expectations are sufficiently anchored to prevent deflation over the next few years. Finally, we show that the Great Recession provides fresh evidence against the New Keynesian Phillips curve with rational expectations.
Author : Ravi Balakrishnan
Publisher : International Monetary Fund
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.:/5 (318 download)
Download or read book U.S. Inflation Dynamics written by Ravi Balakrishnan and published by International Monetary Fund. This book was released on 2006-06 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper aims to improve the understanding of U.S. inflation dynamics by separating out structural from cyclical effects using frequency domain techniques. Most empirical studies of inflation dynamics do not distinguish between secular and cyclical movements, and we show that such a distinction is critical. In particular, we study traditional Phillips curve (TPC) and new Keynesian Phillips curve (NKPC) models of inflation, and conclude that the long-run secular decline in inflation cannot be explained in terms of changes in external trade and global factor markets. These variables tend to impact inflation primarily over the business cycle. We infer that the secular decline in inflation may well reflect improved monetary policy credibility and, thus, maintaining low inflation in the long run is closely linked to anchored inflation expectations.
Download or read book Closed-form Estimates of the New Keynesian Phillips Curve with Time-varying Trend Inflation written by and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Sami Oinonen
Publisher :
ISBN 13 :
Total Pages : 39 pages
Book Rating : 4.:/5 (13 download)
Download or read book How Have Inflation Dynamics Changed Over Time? Evidence from the Euro Area and USA. written by Sami Oinonen and published by . This book was released on 2013 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes euro area and U.S. inflation dynamics since the beginning of the 1990s by estimating New Keynesian hybrid Phillips curves with time-varying parameters. We measure inflation expectations by subjective forecasts from Consensus Economics survey and so do not assume rational expectations. Both rolling regressions and state-space models are employed. The results indicate that in both economic areas the inflation dynamics have steadily become more forward-looking over time. We also provide evidence that the impact of the output gap on inflation has increased in recent years. Overall, diminished inflation persistence emphasizes the role of credible monetary policy in inflation dynamics.
Author : Jeff Fuhrer
Publisher : MIT Press
ISBN 13 : 026225820X
Total Pages : 517 pages
Book Rating : 4.2/5 (622 download)
Download or read book Understanding Inflation and the Implications for Monetary Policy written by Jeff Fuhrer and published by MIT Press. This book was released on 2009-09-11 with total page 517 pages. Available in PDF, EPUB and Kindle. Book excerpt: Current perspectives on the Phillips curve, a core macroeconomic concept that treats the relationship between inflation and unemployment. In 1958, economist A. W. Phillips published an article describing what he observed to be the inverse relationship between inflation and unemployment; subsequently, the “Phillips curve” became a central concept in macroeconomic analysis and policymaking. But today's Phillips curve is not the same as the original one from fifty years ago; the economy, our understanding of price setting behavior, the determinants of inflation, and the role of monetary policy have evolved significantly since then. In this book, some of the top economists working today reexamine the theoretical and empirical validity of the Phillips curve in its more recent specifications. The contributors consider such questions as what economists have learned about price and wage setting and inflation expectations that would improve the way we use and formulate the Phillips curve, what the Phillips curve approach can teach us about inflation dynamics, and how these lessons can be applied to improving the conduct of monetary policy. Contributors Lawrence Ball, Ben Bernanke, Oliver Blanchard, V. V. Chari, William T. Dickens, Stanley Fischer, Jeff Fuhrer, Jordi Gali, Michael T. Kiley, Robert G. King, Donald L. Kohn, Yolanda K. Kodrzycki, Jane Sneddon Little, Bartisz Mackowiak, N. Gregory Mankiw, Virgiliu Midrigan, Giovanni P. Olivei, Athanasios Orphanides, Adrian R. Pagan, Christopher A. Pissarides, Lucrezia Reichlin, Paul A. Samuelson, Christopher A. Sims, Frank R. Smets, Robert M. Solow, Jürgen Stark, James H. Stock, Lars E. O. Svensson, John B. Taylor, Mark W. Watson
Author : Masaaki Suzuki
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (318 download)
Download or read book The New Keynesian Phillips Curve (sticky Price-wage Model) in the U.S. and Japan written by Masaaki Suzuki and published by . This book was released on 2006 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mr.Troy Matheson
Publisher : International Monetary Fund
ISBN 13 : 148431106X
Total Pages : 12 pages
Book Rating : 4.4/5 (843 download)
Download or read book The Great Recession and the Inflation Puzzle written by Mr.Troy Matheson and published by International Monetary Fund. This book was released on 2013-05-22 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: Notwithstanding persistently-high unemployment following the Great Recession, inflation in the United States has been remarkably stable. We find that a traditional Phillips curve describes the behavior of inflation reasonably well since the 1960s. Using a non-linear Kalman filter that allows for time-varying parameters, we find that three factors have contributed to the observed stability of inflation: inflation expectations have become better anchored and to a lower level; the slope of the Phillips curve has flattened; and the importance of import-price inflation has increased.
Author : Peter J. N. Sinclair
Publisher : Routledge
ISBN 13 : 1135179778
Total Pages : 402 pages
Book Rating : 4.1/5 (351 download)
Download or read book Inflation Expectations written by Peter J. N. Sinclair and published by Routledge. This book was released on 2009-12-16 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: Inflation is regarded by the many as a menace that damages business and can only make life worse for households. Keeping it low depends critically on ensuring that firms and workers expect it to be low. So expectations of inflation are a key influence on national economic welfare. This collection pulls together a galaxy of world experts (including Roy Batchelor, Richard Curtin and Staffan Linden) on inflation expectations to debate different aspects of the issues involved. The main focus of the volume is on likely inflation developments. A number of factors have led practitioners and academic observers of monetary policy to place increasing emphasis recently on inflation expectations. One is the spread of inflation targeting, invented in New Zealand over 15 years ago, but now encompassing many important economies including Brazil, Canada, Israel and Great Britain. Even more significantly, the European Central Bank, the Bank of Japan and the United States Federal Bank are the leading members of another group of monetary institutions all considering or implementing moves in the same direction. A second is the large reduction in actual inflation that has been observed in most countries over the past decade or so. These considerations underscore the critical – and largely underrecognized - importance of inflation expectations. They emphasize the importance of the issues, and the great need for a volume that offers a clear, systematic treatment of them. This book, under the steely editorship of Peter Sinclair, should prove very important for policy makers and monetary economists alike.
Author : Stefan Laseen
Publisher : International Monetary Fund
ISBN 13 : 1498348645
Total Pages : 42 pages
Book Rating : 4.4/5 (983 download)
Download or read book Did the Global Financial Crisis Break the U.S. Phillips Curve? written by Stefan Laseen and published by International Monetary Fund. This book was released on 2016-07-05 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: Inflation dynamics, as well as its interaction with unemployment, have been puzzling since the Global Financial Crisis (GFC). In this empirical paper, we use multivariate, possibly time-varying, time-series models and show that changes in shocks are a more salient feature of the data than changes in coefficients. Hence, the GFC did not break the Phillips curve. By estimating variations of a regime-switching model, we show that allowing for regime switching solely in coefficients of the policy rule would maximize the fit. Additionally, using a data-rich reduced-form model we compute conditional forecast scenarios. We show that financial and external variables have the highest forecasting power for inflation and unemployment, post-GFC.
Author : Fang Yao
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.:/5 (13 download)
Download or read book Time-Dependent Pricing and New Keynesian Phillips Curve written by Fang Yao and published by . This book was released on 2016 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper explores what can be lost when assuming price adjustment is a time - independent (memoryless) process.I derive a generalized NKPC in an optinizing model with the non- constant hazard function and trend inflation. Memory emerges in the resulting Phillips curve through the presence of lagged inflation and lagged expectations. It nests the Calvo NKPC as a limitting case in the sense that the effect of both terms are canceled out by one another under the constant-hazard assumption. Furthermore, I find lagged inflation always has negative coefficients, thereby making it impossible to interpret inflation persistence as intrinsic to the model. The numerical evaluation shows that introducing trend inflation strengthens the effects of the increasing hazard function on the inflation dynamics . The model can jointly account for persistent dynamics of inflation and output, hump-shaped impulse responses of inflation to monetary shocks, and the fact that high trend inflation leads to more persistence in inflation but not for real variables.
Author : Kuo-Hsuan Chin
Publisher :
ISBN 13 :
Total Pages : 108 pages
Book Rating : 4.:/5 (97 download)
Download or read book Essays on Inflation Dynamics, Economic Fluctuations and Fiscal Policy written by Kuo-Hsuan Chin and published by . This book was released on 2015 with total page 108 pages. Available in PDF, EPUB and Kindle. Book excerpt: Inflation dynamics and the quantitative effects of fiscal policy remain topics of debates. The mixed results may due to the use of inappropriate models. To reconcile the mixed estimates of inflation dynamics, I generalized a hybrid New Keynesian Phillips Curve model developed by Gali and Gertler (1999) with time varying parameters. I find the model with fixed parameters is possibly a misspecified model since the estimated parameters are not stable over time. In consequence, a suitable model for explaining inflation dynamics should account for the time varying feature of parameters. To further investigate the mixed results on the quantitative effects of fiscal policy, I use a sophisticated DSGE model proposed by Smets and Wouters (2007), and simplify it to other 15 DSGE sub-models by imposing a tight prior on a single parameter or a combination of tight priors on multiple parameters. I estimate all sixteen models using Bayesian approach and obtain the qualitative and quantitative effect of fiscal stimulus in all models, which are comparable with currently empirical studies. I pick up a suitable model via Bayes factor and then forecast the effect of fiscal stimulus in a scenario looks like U.S. 2008/2009 economic recessions. I find a positive short-run effect but a negative long run consequence of fiscal stimulus.
Author : Jean-Marie Dufour
Publisher : Montréal : CIRANO
ISBN 13 :
Total Pages : 23 pages
Book Rating : 4.:/5 (1 download)
Download or read book Inflation Dynamics and the New Keynesian Phillips Curve written by Jean-Marie Dufour and published by Montréal : CIRANO. This book was released on 2005 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The authors use identification-robust methods to assess the empirical adequacy of a New Keynesian Phillips curve (NKPC) equation. They focus on Gal ̕and Gertler's (1999) specification, for both U.S. and Canadian data. Two variants of the model are studied: one based on a rational-expectations assumption, and a modification to the latter that uses survey data on inflation expectations. The results based on these two specifications exhibit sharp differences concerning: (i) identification difficulties, (ii) backward-looking behaviour, and (iii) the frequency of price adjustment. Overall, the authors find that there is some support for the hybrid NKPC for the United States, whereas the model is not suited to Canada. Their findings underscore the need for employing identification-robust inference methods in the estimation of expectations-based dynamic macroeconomic relations."--Abstract from website.
Author : Andreas Hornstein
Publisher :
ISBN 13 :
Total Pages : 14 pages
Book Rating : 4.:/5 (17 download)
Download or read book Notes on the Inflation Dynamics of the New Keynesian Phillips Curve written by Andreas Hornstein and published by . This book was released on 2007 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Khalirendwe Ranenyeni
Publisher :
ISBN 13 :
Total Pages : 46 pages
Book Rating : 4.:/5 (775 download)
Download or read book Inflation Dynamics and the New Keynesian Phillips Curve written by Khalirendwe Ranenyeni and published by . This book was released on 2010 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Nalan Basturk
Publisher :
ISBN 13 :
Total Pages : 71 pages
Book Rating : 4.:/5 (13 download)
Download or read book Posterior-Predictive Evidence on US Inflation Using Extended New Keynesian Phillips Curve Models with Non-Filtered Data written by Nalan Basturk and published by . This book was released on 2014 with total page 71 pages. Available in PDF, EPUB and Kindle. Book excerpt: Changing time series properties of US inflation and economic activity, measured as marginal costs, are modeled within a set of extended Phillips Curve (PC) models. It is shown that mechanical removal or modeling of simple low frequency movements in the data may yield poor predictive results which depend on the model specification used. Basic PC models are extended to include structural time series models that describe typical time varying patterns in levels and volatilities. Forward as well as backward looking expectation mechanisms for inflation are incorporated and their relative importance evaluated. Survey data on expected inflation are introduced to strengthen the information in the likelihood. Use is made of simulation based Bayesian techniques for the empirical analysis. No credible evidence is found on endogeneity and long run stability between inflation and marginal costs. Backward-looking inflation appears stronger that forward-looking one. Levels and volatilities of inflation are estimated more precisely using rich PC models. Estimated inflation expectations track nicely the observed long run inflation from the survey data. The extended PC structures compare favorably with existing basic Bayesian Vector Autoregressive and Stochastic Volatility models in terms of fit and prediction. Tails of the complete predictive distributions indicate an increase in the probability of disinflation in recent years.
Author : Sophocles N. Brissimis
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Inflation Forecasts and the New Keynesian Phillips Curve written by Sophocles N. Brissimis and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The ability of the New Keynesian Phillips curve to explain US inflation dynamics when official central bank forecasts (Greenbook forecasts) are used as a proxy for inflation expectations is examined. The New Keynesian Phillips curve is estimated on quarterly data spanning the period 1970Q1-1998Q2 against the alternative of the Hybrid Phillips curve, which allows for a backward-looking component in the price-setting behavior in the economy. The results are compared to those obtained using actual data on future inflation as conventionally employed in empirical work under the assumption of rational expectations. The empirical evidence provides, in contrast to most of the relevant literature, considerable support for the standard forward-looking New Keynesian Phillips curve when inflation expectations are measured using official inflation forecasts. In this case, lagged inflation terms become insignificant in the hybrid specification. The usefulness of real unit labor cost as the preferred proxy for real marginal cost in recent empirical work on the Phillips curve is confirmed by our results.
