IDEAS home Printed from https://ideas.repec.org/p/qed/wpaper/1155.html
   My bibliography  Save this paper

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

Author

Listed:
  • Gregor W. Smith

    () (Queen's University)

Abstract

The new Keynesian Phillips curve (NKPC) restricts multivariate forecasts. I estimate and test it entirely within a panel 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 larger weight 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 Papers 1155, Queen's University, Department of Economics.
  • Handle: RePEc:qed:wpaper:1155
    as

    Download full text from publisher

    File URL: http://qed.econ.queensu.ca/working_papers/papers/qed_wp_1155.pdf
    File Function: First version 2008
    Download Restriction: no

    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

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:qed:wpaper:1155. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Mark Babcock). General contact details of provider: http://edirc.repec.org/data/qedquca.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.