Trend inflation, indexation, and inflation persistence in the new Keynesian Phillips curve

American Economic Review

Volumn 98, Issue 5, 2008, Pages 2101-2126

  Cogley, Timothy ^a   Sbordone, Argia M ^b  

^a UNIVERSITY OF CALIFORNIA   (United States)

^b FEDERAL RESERVE BANK OF NEW YORK   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 58149251834     PISSN: 00028282     EISSN: None     Source Type: Journal    
DOI: 10.1257/aer.98.5.2101     Document Type: Article

References (49)

1. Adolfson, Malin, Stefan Laseen, Jesper Lindé, and Mattias Villani. 2007. "Bayesian Estimation of an Open Economy DSGE Model with Incomplete Pass-Through." Journal of International Economics. 72(2): 481-511.
2. Amato, Jeffrey D., and Thomas Laubach. 2003. "Estimation and Control of an Optimization-Based Model with Sticky Prices and Wages." Journal of Economic Dynamics and Control, 27(7): 1181-1215.
3. Ascari, Guido. 2004. "Staggered Prices and Trend Inflation: Some Nuisances." Review of Economic-Dynamics, 7(3): 642-67.
4. Ascari, Guido, and Tiziano Ropele. 2007. "Optimal Monetary Policy under Low Trend Inflation." Journal of Monetary Economics, 54(8): 2568-83.
5. Bakhshi, Hasan, Hashmat Khan, Pablo Burriel-Llombart, and Barbara Rudolf. 2007. "The New Keynes-ian Phillips Curve under Trend Inflation and Strategic Complementarity." Journal of Macroeconomics. 29(1): 37-59.
6. Basu, Susanto. 1996. "Procyclical Productivity: Increasing Returns or Cyclical Utilization?" Quarterly Journal of Economics, 111(3): 719-51.
7. Basu, Susanto, and Miles S. Kimball. 1997. "Cyclical Productivity with Unobserved Input Variation." National Bureau of Economic Research Working Paper 5915.
8. Beveridge, Stephen, and Charles R. Nelson. 1981. "A New Approach to Decomposition of Economic Time Series into Permanent and Transitory Components with Particular Attention to Measurement of the 'Business Cycle.'" Journal of Monetary Economics, 7(2): 151-74.
9. Beyer, Andreas, and Roger E. A. Farmer. 2007. "Testing for Indeterminacy: An Application to U.S. Monetary Policy: Comment." American Economic Review. 97(1): 524-29.
10. Bils, Mark, and Peter J. Klenow. 2004. "Some Evidence on the Importance of Sticky Prices." Journal of Political Economy, 112(5): 947-85.
11. Calvo, Guillermo A. 1983. "Staggered Prices in a Utility-Maximizing Framework." Journal of Monetary-Economics, 12(3): 383-98.
12. Campbell, John Y., and Robert J. Shiller. 1987. "Cointegration and Tests of Present Value Models." Journal of Political Economy, 95(5): 1062-88.
13. Carboni, Giacomo, and Martin Ellison. 2007. "The Great Inflation and the Greenbook." http://www2. warwick.ac.uk/fac/soc/economics/ staff/faculty/ellison/wp/greenbook2.pdf.
14. Christiano, Lawrence J., Martin Eichenbaum, and Charles L. Evans. 2005. "Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Poliy." Journal of Political Economy, 113(1): 1-45.
15. Cogley, Timothy, Giorgio Primiceri, and Thomas J. Sargent. 2007. "Inflation-Gap Persistence in the U.S." http://www.econ.ucdavis.edu/ faculty/twcogley/sw-18-tom.pdf.
16. Cogley, Timothy, and Thomas J. Sargent. 2005a. "Drifts and Volatilities: Monetary Policies and Outcomes in the Post WWII U.S." Review of Economic Dynamics, 8(2): 262-302.
17. Cogley, Timothy, and Thomas J. Sargent. 2005b. "The Conquest of US Inflation: Learning and Robustness to Model Uncertainty." Review of Economic Dynamics, 8(2): 528-63.
18. Cogley, Timothy, and Thomas J. Sargent. 2008. "Anticipated Utility and Rational Expectations as Approx imations of Bayesian Decision Making." International Economic Review, 49(1): 185-221.
19. Cogley, Timothy, and Argia M. Sbordone. 2005. "A Search for a Structural Phillips Curve." Federal Reserve Bank of New York Staff Report 203.
20. Cogley, Timothy, and Argia M. Sbordone. 2006. "Trend Inflation and Inflation Persistence in the New Keynesian Phillips Curve." Federal Reserve Bank of New York Staff Report 270.
21. Del Negro, Marco, and Frank Schorfheide. 2006. "Forming Priors for DSGE Models (And How It Affects the Assessment of Nominal Rigidities)." http://www.econ.upenn.edu/~schorf/papers/dummyprior.pdf.
22. Economic Report of the President. 2004. Washington, DC: United States Government Printing Office.
23. Edge, Rochelle M., Thomas Laubach, and John C. Williams. 2003. "The Responses of Wages and Prices to Technology Shocks." Federal Reserve Bank of San Francisco Working Paper 2003-21.
24. Eichenbaum, Martin, and Jonas D. M. Fisher. 2007. "Estimating the Frequency of Price Re-Optimization in Calvo-Style Models." Journal of Monetary Economics, 54(7): 2032-47.
25. Evans, George W., and Seppo Honkapohja. 2001. Learning and Expectations in Macroeconomics. Princeton, NJ: Princeton University Press.
26. Fernández-Villaverde, Jesús, and Juan Rubio-Ramírez. 2007. "How Structural Are Structural Parameters?" In NBER Macroeconomics Annual, Vol. 22, ed. Daron Acemoglu, Kenneth Rogoff, and Michael Woodford, 83-137. Cambridge, MA: MIT Press.
27. Fuhrer, Jeff, and George Moore. 1995. "Inflation Persistence." Quarterly Journal of Economics, 110(1): 127-59.
28. Gali, Jordí, and Mark Gertler. 1999. "Inflation Dynamics: A Structural Econometric Analysis." Journal of Monetary Economics, 44(2): 195-222.
29. Giannoni, Marc P., and Michael Woodford. 2003. "Optimal Inflation-Targeting Rules." In The Inflation-Targeting Debate, ed. Ben S. Bernanke and Michael Woodford, 93-162. Chicago, IL: University of Chicago Press.
30. Ireland, Peter N. 2007. "Changes in the Federal Reserve's Inflation Target: Causes and Consequences." Journal of Money, Credit, and Banking, 39(8): 1851-82.
31. Kiley, Michael T. 2007. "Is Moderate-to-High Inflation Inherently Unstable?" International Journal of Central Banking, 3(2): 173-201.
32. Kozicki, Sharon, and Peter A. Tinsley. 2002. "Alternative Sources of the Lag Dynamics of Inflation." In Price Adjustment and Monetary Policy, 3-41. Bank of Canada Conference Proceedings. Ottawa: Bank of Canada.
33. Kreps, David M. 1998. "Anticipated Utility and Dynamic Choice." In Frontiers of Research in Economic Theory: The Nancy L. Schwartz Memorial Lectures, 1983-1997, ed. D. P. Jacobs, E. Kalai, and M. I. Kamien, 242-74. Cambridge, MA: Cambridge University Press.
34. McConnell, Margaret M., and Gabriel Perez-Quiros. 2000. "Output Fluctuations in the United States: What Has Changed since the Early 1980's?" American Economic Review, 90(5): 1464-76.
35. Milani, Fabio. 2006. "A Bayesian DSGE Model with Infinite-Horizon Learning: Do 'Mechanical' Sources of Persistence Become Superfluous?" International Journal of Central Banking, 2(3): 87-106.
36. Nakamura, Emi, and Jon Steinsson. 2007. "Five Facts about Prices: A Reevaluation of Menu-Cost Models." http://www.columbia.edu/ ~en2198/papers/fivefacts.pdf.
37. Primiceri, Giorgio E. 2006. "Why Inflation Rose and Fell: Policy-Makers' Beliefs and U.S. Postwar Stabilization Policy." Quarterly Journal of Economics, 121(3): 867-901.
38. Rotemberg, Julio J., and Michael Woodford. 1997. "An Optimization-Based Econometric Framework for the Evaluation of Monetary Policy." In NBER Macroeconomics Annual 1997, ed. Ben S. Bernanke and Julio J. Rotemberg, 297-346. Cambridge, MA: MIT Press.
39. Sahuc, Jean-Guillaume. 2006. "Partial Indexation, Trend Inflation, and the Hybrid Phillips Curve." Economics Letters, 90(1): 42-50.
40. Sargent, Thomas, Noah Williams, and Tao Zha. 2006. "Shocks and Government Beliefs: The Rise and Fall of American Inflation." American Economic Review, 96(4): 1193-1224.
41. Sbordone, Argia M. 2002. "Prices and Unit Labor Costs: A New Test of Price Stickiness." Journal of Monetary Economics, 49(2): 265-92.
42. Sbordone, Argia M. 2006. "U.S. Wage and Price Dynamics: A Limited-Information Approach." International Journal of Central Banking, 2(3): 155-91.
43. Schorfheide, Frank. 2005. "Learning and Monetary Policy Shifts." Review of Economic Dynamics, 8(2): 392-419.
44. Smets, Frank, and Rafael Wouters. 2003. "An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area." Journal of the European Economic Association, 1(5): 1123-75.
45. Smets, Frank, and Rafael Wouters. 2007. "Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach." American Economic Review, 97(3): 586-606.
46. Stock, James H., and Mark W. Watson. 2002. "Has the Business Cycle Changed and Why?" In NBER Macroeconomics Annual 2002, Vol. 17, ed. Mark Gertler and Kenneth Rogoff, 159-218. Cambridge, MA: MIT Press.
47. Stock, James H., and Mark W. Watson. 2007. "Why Has U.S. Inflation Become Harder to Forecast?" Journal of Money, Credit, and Banking, 39(sl): 3-33.
48. Woodford, Michael. 2003. Interest and Prices. Princeton, NJ: Princeton University Press.
49. Woodford, Michael. 2005. "Firm-Specific Capital and the New Keynesian Phillips Curve." International Journal of Central Banking, 1(2): 1-46.