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Measuring Inflation Pressure and Monetary Policy Response: A General Approach Applied to US Data 1966 - 2001

  • Diana N. Weymark

    ()

    (Department of Economics, Vanderbilt University)

  • Mototsugu Shintani

    ()

    (Department of Economics, Vanderbilt University)

We propose a methodology for constructing operational indices of inflation pressure, the monetary authority's effort to reduce this pressure, and the degree to which inflation pressure is alleviated. We begin with model independent definitions of these concepts. When our definitions are applied to a specific model we obtain model-specific functional forms for these indices. We apply our methodology to a micro-founded aggregate model with rational expectations. GMM estimates of the model are used to obtain quarterly time series of our indices for the United States from 1966 to 2001.

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File URL: http://www.accessecon.com/pubs/VUECON/vu04-w24R.pdf
File Function: Revised version, 2006
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Paper provided by Vanderbilt University Department of Economics in its series Vanderbilt University Department of Economics Working Papers with number 0424.

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Date of creation: Dec 2004
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Handle: RePEc:van:wpaper:0424
Contact details of provider: Web page: http://www.vanderbilt.edu/econ/wparchive/index.html

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  1. Stock, James H. & Watson, Mark W., 1999. "Forecasting inflation," Journal of Monetary Economics, Elsevier, vol. 44(2), pages 293-335, October.
  2. Richard Clarida & Jordi Galí & Mark Gertler, 1997. "Monetary policy rules and macroeconomic stability: Evidence and some theory," Economics Working Papers 350, Department of Economics and Business, Universitat Pompeu Fabra, revised May 1999.
  3. Ben S. Bernanke, 1990. "On the predictive power of interest rates and interest rate spreads," New England Economic Review, Federal Reserve Bank of Boston, issue Nov, pages 51-68.
  4. Christina D. Romer & David H. Romer, 2003. "A New Measure of Monetary Shocks: Derivation and Implications," NBER Working Papers 9866, National Bureau of Economic Research, Inc.
  5. Ben S. Bernanke & Ilian Mihov, 1998. "Measuring Monetary Policy," The Quarterly Journal of Economics, MIT Press, vol. 113(3), pages 869-902, August.
  6. Glenn D. Rudebusch & Jeffrey C. Fuhrer, 2002. "Estimating the Euler equation for output," Working Paper Series 2002-12, Federal Reserve Bank of San Francisco.
  7. Weymark, Diana N., 1995. "Estimating exchange market pressure and the degree of exchange market intervention for Canada," Journal of International Economics, Elsevier, vol. 39(3-4), pages 273-295, November.
  8. Atsushi Inoue & Mototsugu Shintani, 2001. "Bootstrapping GMM Estimators for Time Series," Vanderbilt University Department of Economics Working Papers 0129, Vanderbilt University Department of Economics, revised Aug 2003.
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