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A model of the Fed's view on inflation

Hasenzagl, Thomas, Pellegrino, Filippo, Reichlin, Lucrezia and Ricco, Giovanni (2022) A model of the Fed's view on inflation. Review of Economics and Statistics, 104 (4). 686 - 704. ISSN 0034-6535

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Identification Number: 10.1162/rest_a_00974


We develop a medium-size semistructural time series model of inflation dynamics that is consistent with the view, often expressed by central banks, that three components are important: a trend anchored by long-run expectations, a Phillips curve, and temporary fluctuations in energy prices. We find that a stable long-term inflation trend and a well-identified steep Phillips curve are consistent with the data, but they imply potential output declining since the new millennium and energy prices affecting headline inflation not only via the Phillips curve but also via an independent expectational channel.

Item Type: Article
Official URL:
Additional Information: © 2022 The President and Fellows of Harvard College and the Massachusetts Institute of Technology.
Divisions: Statistics
Subjects: H Social Sciences > HB Economic Theory
H Social Sciences > HA Statistics
Date Deposited: 20 Jul 2022 14:36
Last Modified: 27 Jul 2022 07:24

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