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Project Description

Summary:  View help for Summary This paper uses a dynamic factor model for the quarterly changes in consumption goods' prices in the United States since 1959 to separate them into three independent components: idiosyncratic relative-price changes, a low-dimensional index of aggregate relative-price changes, and an index of equiproportional changes in all inflation rates that we label "pure" inflation. We use the estimates to answer two questions. First, what share of the variability of inflation is associated with each component, and how are they related to conventional measures of monetary policy and relative-price shocks? Second, what drives the Phillips correlation between inflation and measures of real activity? (JEL E21, E23, E31, E52)

Scope of Project

JEL Classification:  View help for JEL Classification
      E21 Macroeconomics: Consumption; Saving; Wealth
      E23 Macroeconomics: Production
      E31 Price Level; Inflation; Deflation
      E52 Monetary Policy


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