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- W1569139488 abstract "The New Keynesian Phillips curve (NKPC) asserts that inflation depends on expectations of real marginal costs, but empirical research has shown that purely forward-looking versions of the model generate too little inflation persistence. In this paper, we offer a resolution of the persistence problem. We hypothesize that inflation is highly persistent because of drift in trend inflation, a feature that many versions of the NKPC neglect. We derive a version of the NKPC as a log-linear approximation around a time-varying inflation trend and examine whether it explains deviations of inflation from that trend. We estimate the NKPC parameters jointly with those that define the inflation trend by estimating a vector autoregression with drifting coefficients and volatilities; the autoregressive parameters are constrained to satisfy the restrictions imposed by the NKPC. Our results suggest that trend inflation has been historically quite volatile and that a purely forward-looking model that takes these fluctuations into account approximates well the short-run dynamics of inflation." @default.
- W1569139488 created "2016-06-24" @default.
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- W1569139488 date "2006-01-01" @default.
- W1569139488 modified "2023-10-15" @default.
- W1569139488 title "Trend Inflation and Inflation Persistence in the New Keynesian Phillips Curve" @default.
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- W1569139488 doi "https://doi.org/10.2139/ssrn.949609" @default.
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