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Trend Inflation and Evolving Inflation Dynamics: A Bayesian GMM Analysis of the Generalized New Keynesian Phillips Curve

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  • Yasufumi Gemma

    (Deputy Director and Economist, Institute for Monetary and Economic Studies (currently Research and Statistics Department), Bank of Japan (E-mail: yasufumi.genma@boj.or.jp))

  • Takushi Kurozumi

    (Director and Senior Economist, Institute for Monetary and Economic Studies (currently Monetary Affairs Department), Bank of Japan (E-mail: takushi.kurozumi@boj.or.jp))

  • Mototsugu Shintani

    (Professor, RCAST, University of Tokyo and Institute for Monetary and Economic Studies, Bank of Japan (E-mail: shintani@econ.rcast.u-tokyo.ac.jp))

Abstract

Inflation dynamics in the U.S. and Japan are investigated by estimating a "generalized" version of the Galí and Gertler (1999) New Keynesian Phillips curve (NKPC) with Bayesian GMM. This generalized NKPC (GNKPC) differs from the original only in that, in line with the micro evidence, each period some prices remain unchanged even under non-zero trend inflation. Yet the GNKPC has features that are significantly distinct from those of the NKPC. Model selection using quasi-marginal likelihood shows that the GNKPC empirically outperforms the NKPC in both the U.S. and Japan. Moreover, it explains U.S. inflation dynamics better than a constant-trend-inflation variant of the Cogley and Sbordone (2008) GNKPC. According to our selected GNKPC, when trend inflation fell after the Great Inflation of the 1970s in the U.S., the probability of no price change rose. Consequently, the GNKPC’s slope flattened and its inflation- inertia coefficient decreased. As for Japan, when trend inflation turned slightly negative after the late 1990s (until the early 2010s), the fraction of backward-looking price setters increased; therefore, the GNKPC’s inflation-inertia coefficient increased and its slope flattened.

Suggested Citation

  • Yasufumi Gemma & Takushi Kurozumi & Mototsugu Shintani, 2017. "Trend Inflation and Evolving Inflation Dynamics: A Bayesian GMM Analysis of the Generalized New Keynesian Phillips Curve," IMES Discussion Paper Series 17-E-10, Institute for Monetary and Economic Studies, Bank of Japan.
  • Handle: RePEc:ime:imedps:17-e-10
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    4. Takushi Kurozumi & Ryohei Oishi & Willem Van Zandweghe, 2022. "Sticky Information Versus Sticky Prices Revisited: A Bayesian VAR-GMM Approach," Working Papers 22-34, Federal Reserve Bank of Cleveland.

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    More about this item

    Keywords

    Inflation Dynamics; Trend Inflation; Generalized New Keynesian Phillips Curve; Bayesian GMM Estimation; Quasi-marginal Likelihood;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C26 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Instrumental Variables (IV) Estimation
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation

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