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Us Inflation Dynamics 1981-2007: 13,193 Quarterly Observations

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  • Gregor W. Smith

Abstract

The new Keynesian Phillips curve (NKPC) restricts multivariate forecasts. I estimate and test it entirely within apanel of professional forecasts, thus using the time-series,cross-forecaster, and cross-horizon dimensions of the panel. Estimation uses 13,193 observations on quarterly US inflation forecasts since 1981. The main finding is a significantly largerweight on expected future inflation than on past inflation, a finding which also is estimated with much more precision than in the standard approach. Inflation dynamics also are stable over time, with no decline in inflation inertia from the 1980s to the 2000s. But, as in historical data, identifying the output gap is difficult.

Suggested Citation

  • Gregor W. Smith, 2008. "Us Inflation Dynamics 1981-2007: 13,193 Quarterly Observations," Working Paper 1155, Economics Department, Queen's University.
    • Handle: RePEc:qed:wpaper:1155
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    File URL: https://www.econ.queensu.ca/sites/econ.queensu.ca/files/qed_wp_1155.pdf
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    More about this item

    Keywords

    forecast survey; new Keynesian Phillips curve;

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

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