This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Structural estimates of the U.S. sacrifice ratio

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Stephen G. Cecchetti
Robert W. Rich

Additional information is available for the following registered author(s):

Abstract

This paper investigates the statistical properties of the U.S. sacrifice ratio -- the cumulative output loss arising from a permanent reduction in inflation. We derive estimates of the sacrifice ratio from three structural VAR models and then conduct Monte Carlo simulations to analyze their sampling distribution. While the point estimates of the sacrifice ratio confirm the results reported in earlier studies, we find that the estimates are very imprecise and that the degree of imprecision increases with the complexity of the model used. That is, increases in the number of structural shocks widen our confidence intervals. We conclude that the estimates provide a very unreliable guide for assessing the output cost of a disinflation policy.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help file. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.newyorkfed.org/research/staff_reports/sr71.html
File Format: text/html
File Function:
Download Restriction: no
File URL: http://www.newyorkfed.org/research/staff_reports/sr71.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by Federal Reserve Bank of New York in its series Staff Reports with number 71.

Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Length:
Date of creation: 1999
Date of revision:
Handle: RePEc:fip:fednsr:71

Contact details of provider:
Postal: 33 Liberty Street, New York, NY 10045-0001
Email:
Web page: http://www.newyorkfed.org/
More information through EDIRC

Order Information:
Email:
Web: http://www.ny.frb.org/rmaghome/staff_rp/

For technical questions regarding this item, or to correct its listing, contact: (Diane Rosenberger).

Related research
Keywords: Inflation (Finance) Econometric models Monetary policy Gross domestic product

Other versions of this item:

This paper has been announced in the following NEP Reports: References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June. [Downloadable!] (restricted)
  2. Andrew J. Filardo, 1998. "New evidence on the output cost of fighting inflation," Economic Review, Federal Reserve Bank of Kansas City, issue Q III. [Downloadable!]
  3. Stanners, W, 1996. "Inflation and Growth," Cambridge Journal of Economics, Oxford University Press, vol. 20(4), pages 509-12, July.
  4. Dornbusch, Rudiger & Fischer, Stanley, 1991. "Moderate inflation," Policy Research Working Paper Series 807, The World Bank. [Downloadable!]
    Other versions:
  5. A. R. Pagan & J. C. Robertson, 1998. "Structural Models Of The Liquidity Effect," The Review of Economics and Statistics, MIT Press, vol. 80(2), pages 202-217, May. [Downloadable!] (restricted)
    Other versions:
  6. Gali, Jordi, 1992. "How Well Does the IS-LM Model Fit Postwar U.S. Data," The Quarterly Journal of Economics, MIT Press, vol. 107(2), pages 709-38, May. [Downloadable!] (restricted)
  7. Blanchard, Olivier Jean & Quah, Danny, 1989. "The Dynamic Effects of Aggregate Demand and Supply Disturbances," American Economic Review, American Economic Association, vol. 79(4), pages 655-73, September. [Downloadable!] (restricted)
    Other versions:
  8. Robert J. Gordon & Stephen R. King, 1982. "The Output Cost of Disinflation in Traditional and Vector Autoregressive Models," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 13(1982-1), pages 205-244. [Downloadable!]
    Other versions:
  9. Jeffrey C. Fuhrer, 1995. "The persistence of inflation and the cost of disinflation," New England Economic Review, Federal Reserve Bank of Boston, issue Jan, pages 3-16. [Downloadable!]
  10. Okun, Arthur M, 1978. "Efficient Disinflationary Policies," American Economic Review, American Economic Association, vol. 68(2), pages 348-52, May.
  11. Matthew D. Shapiro & Mark W. Watson, 1988. "Sources of Business Cycle Fluctuations," Cowles Foundation Discussion Papers 870, Cowles Foundation, Yale University. [Downloadable!]
    Other versions:
  12. Robert J. Barro, 1996. "Inflation and growth," Proceedings, Federal Reserve Bank of St. Louis, issue May, pages 153-169. [Downloadable!]
  13. Taylor, John B, 1983. "Union Wage Settlements during a Disinflation," American Economic Review, American Economic Association, vol. 73(5), pages 981-93, December. [Downloadable!] (restricted)
    Other versions:
Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Marilyne Huchet-Bourdon & Jean-Jacques Durand & Julien Licheron, 2008. "Sacrifice ratio dispersion within the Euro Zone:
    What can be learned about implementing a Single Monetary Policy?    ," Post-Print halshs-00143793_v1, HAL. [Downloadable!]
  2. Marek Jarocinski, 2006. "Responses to Monetary Policy Shocks in the East and the West of Europe: A Comparison," Working Papers 124, Oesterreichische Nationalbank (Austrian Central Bank). [Downloadable!]
  3. Neville Francis & Michael T. Owyang, 2004. "Monetary policy in a Markov-switching VECM: implications for the cost of disinflation and the price puzzle," Working Papers 2003-001, Federal Reserve Bank of St. Louis. [Downloadable!]
  4. Julia Lendvai, 2006. "Inflation dynamics and regime shifts," Working Paper Series 684, European Central Bank. [Downloadable!]
  5. Peter van Els & Alberto Locarno & Julian Morgan & Jean-Pierre Villetelle, 2001. "Monetary policy transmission in the euro area: what do aggregate and national structural models tell us?," Temi di discussione (Economic working papers) 433, Bank of Italy, Economic Research Department. [Downloadable!]
    Other versions:
  6. Roy H. Webb, 1999. "Two approaches to macroeconomic forecasting," Economic Quarterly, Federal Reserve Bank of Richmond, issue Sum, pages 23-40. [Downloadable!]
  7. Robert-Paul Berben & Alberto Locarno & Julian Morgan & Javier Valles, 2004. "Cross-country differences in monetary policy transmission," Working Paper Series 400, European Central Bank. [Downloadable!]
    Other versions:
  8. JUNCAL CUñNADO & FERNANDO PÉREZ DE GRACIA, 2003. "Sacrifice Ratios: some lessons from EMU countries, 1960-2001," International Review of Applied Economics, Taylor and Francis Journals, vol. 17(3), pages 327-337, July. [Downloadable!] (restricted)
  9. Juncal Cuñado Eizaguirre & Fernando Pérez de Gracía Hidalgo, . "Tasa de sacrificio en la UEM: Un análisis empírico," Studies on the Spanish Economy 70, FEDEA. [Downloadable!]
  10. Reinhold Kosfeld & Christian Dreger, 2005. "Thresholds for Employment and Unemployment - a Spatial Analysis of German Regional Labour Markets 1992-2000," ERSA conference papers ersa05p39, European Regional Science Association. [Downloadable!]
    Other versions:
  11. Michael T. Owyang & Howard J. Wall, 2004. "Structural breaks and regional disparities in the transmission of monetary policy," Working Papers 2003-008, Federal Reserve Bank of St. Louis. [Downloadable!]
  12. Peter N. Ireland, 2005. "Changes in the Federal Reserve’s Inflation Target: Causes and Consequences," Boston College Working Papers in Economics 607, Boston College Department of Economics. [Downloadable!]
    Other versions:
  13. Giuseppe Diana & Moise Sidiropoulos, 2003. "Central Bank Independence, Speed of Disinflation and the Sacrifice Ratio," Working Papers of BETA 2003-08, Bureau d'Economie Théorique et Appliquée, ULP, Strasbourg. [Downloadable!]
  14. FÈVE, Patrick & MATHERON, Julien & SAHUC, Jean-Guillaume, 2007. "Disinflation Shocks in the Eurozone: a DSGE Perspective," IDEI Working Papers 483, Institut d'Économie Industrielle (IDEI), Toulouse. [Downloadable!]
  15. Pyyhtiä, Ilmo, 1999. "The Nonlinearity of the Phillips Curve and European Monetary Policy," Research Discussion Papers 17/1999, Bank of Finland. [Downloadable!]
Statistics
Access and download statistics

Did you know? You too can volunteer for RePEc, for example by encouraging others to use our services.

This page was last updated on 2008-9-12.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.