Replication data for: Trend Inflation, Indexation, and Inflation Persistence in the New Keynesian Phillips Curve
Principal Investigator(s): View help for Principal Investigator(s) Timothy Cogley; Argia M. Sbordone
Version: View help for Version V1
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Project Citation:
Cogley, Timothy, and Sbordone, Argia M. Replication data for: Trend Inflation, Indexation, and Inflation Persistence in the New Keynesian Phillips Curve. Nashville, TN: American Economic Association [publisher], 2008. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-12. https://doi.org/10.3886/E113274V1
Project Description
Summary:
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Purely forward-looking versions of the New Keynesian Phillips curve (NKPC)
generate too little inflation persistence. Some authors add ad hoc backwardlooking
terms to address this shortcoming. We hypothesize that inflation persistence
results mainly from variation in the long-run trend component of
inflation, which we attribute to shifts in monetary policy. We derive a version of
the NKPC that incorporates a time-varying inflation trend and examine whether
it explains the dynamics of inflation. When drift in trend inflation is taken into
account, a purely forward-looking version of the model fits the data well, and
there is no need for backward-looking components. (JEL E12, E31, E52)
Scope of Project
JEL Classification:
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E12 General Aggregative Models: Keynes; Keynesian; Post-Keynesian; Modern Monetary Theory
E31 Price Level; Inflation; Deflation
E52 Monetary Policy
E12 General Aggregative Models: Keynes; Keynesian; Post-Keynesian; Modern Monetary Theory
E31 Price Level; Inflation; Deflation
E52 Monetary Policy
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