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Empirical estimates of changing inflation dynamics

Author

Listed:
  • Jeffrey C. Fuhrer
  • Giovanni P. Olivei
  • Geoffrey M. B. Tootell

Abstract

This paper provides an array of empirical evidence bearing on potentially important changes in the dynamics of U.S. inflation. We examine the overall performance of Phillips curves relative to some well-known benchmarks, the efficiency with which the Federal Reserve's Greenbook forecasts of inflation use real activity information, and shifts in the key determinants of the reduced-form \\"triangle model\\" of inflation. We develop a structural model-based interpretation of observed reduced-form shifts and conduct a reduced-form assessment of the relationship between core and headline measures of inflation, centering on the persistent \\"pass-through\\" of relative price changes into core and headline inflation measures, and a parallel exercise that examines the pass-through of key relative price changes into wage and compensation measures.

Suggested Citation

  • Jeffrey C. Fuhrer & Giovanni P. Olivei & Geoffrey M. B. Tootell, 2009. "Empirical estimates of changing inflation dynamics," Working Papers 09-4, Federal Reserve Bank of Boston, revised 2009.
  • Handle: RePEc:fip:fedbwp:09-4
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    Citations

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    Cited by:

    1. Ippei Fujiwara & Yasuo Hirose, 2014. "Indeterminacy and Forecastability," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(1), pages 243-251, February.
    2. Gbaguidi DAVID, 2011. "Expectations Impact On The Effectiveness Of The Inflation Real Activity Trade Off," Theoretical and Practical Research in the Economic Fields, ASERS Publishing, vol. 2(2), pages 141-181.
    3. Laurence Ball & Sandeep Mazumder, 2011. "Inflation Dynamics and the Great Recession," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 42(1 (Spring), pages 337-405.
    4. Kapur, Muneesh, 2013. "Revisiting the Phillips curve for India and inflation forecasting," Journal of Asian Economics, Elsevier, vol. 25(C), pages 17-27.
    5. Scott Davis, 2012. "The Effect of Commodity Price Shocks on Underlying Inflation: The Role of Central Bank Credibility," Working Papers 272012, Hong Kong Institute for Monetary Research.
    6. Rochelle M. Edge & Refet S. Gurkaynak, 2010. "How Useful Are Estimated DSGE Model Forecasts for Central Bankers?," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 41(2 (Fall)), pages 209-259.
    7. Gbaguidi, David Sedo, 2011. "Regime Switching in a New Keynesian Phillips Curve with Non-zero Steady-state Inflation Rate," MPRA Paper 35481, University Library of Munich, Germany.
    8. Gbaguidi, David, 2012. "La courbe de Phillips : temps d’arbitrage et/ou arbitrage de temps," L'Actualité Economique, Société Canadienne de Science Economique, vol. 88(1), pages 87-119, mars.
    9. Rochelle M. Edge & Refet S. Gurkaynak, 2011. "How useful are estimated DSGE model forecasts?," Finance and Economics Discussion Series 2011-11, Board of Governors of the Federal Reserve System (U.S.).
    10. Diego Moccero & Shingo Watanabe & Boris Cournède, 2011. "What Drives Inflation in the Major OECD Economies?," OECD Economics Department Working Papers 854, OECD Publishing.

    More about this item

    Keywords

    Inflation (Finance);

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