A model of the FED's view on inflation - Sciences Po Accéder directement au contenu
Pré-Publication, Document De Travail Année : 2018

A model of the FED's view on inflation

Thomas Hasenzagl
  • Fonction : Auteur
Giovanni Ricco
  • Fonction : Auteur
  • PersonId : 1069188

Résumé

view often expressed by the Fed is that three components matter in inflation dynamics: a trend anchored by long run inflation expectations; a cycle connecting nominal and real variables; and oil prices. This paper proposes an econometric structural model of inflation formalising this view. Our findings point to a stable expectational trend, a sizeable and well identified Phillips curve and an oil cycle which, contrary to the standard rational expectation model, affects inflation via expectations without being reflected in the output gap. The latter often overpowers the Phillips curve. In fact, the joint dynamics of the Phillips curve cycle and the oil cycles explain the inflation puzzles of the last ten years.
Fichier principal
Vignette du fichier
wp2018-03-amodelofthefedsview-thazenzagl.pdf (1.07 Mo) Télécharger le fichier
Origine : Fichiers éditeurs autorisés sur une archive ouverte

Dates et versions

hal-03458456 , version 1 (30-11-2021)

Identifiants

Citer

Thomas Hasenzagl, Fillipo Pellegrino, Lucrezia Reichlin, Giovanni Ricco. A model of the FED's view on inflation. 2018. ⟨hal-03458456⟩

Collections

SCIENCESPO USPC
55 Consultations
31 Téléchargements

Partager

Gmail Facebook X LinkedIn More