Trend inflation and evolving inflation dynamics: A Bayesian GMM analysis

IF 2.3 3区经济学 Q2 ECONOMICS

Review of Economic Dynamics Pub Date : 2023-12-01 DOI:10.1016/j.red.2023.05.003

Yasufumi Gemma , Takushi Kurozumi , Mototsugu Shintani

引用次数: 1

Abstract

Inflation dynamics are investigated by estimating a generalized version of the New Keynesian Phillips curve (NKPC) of Galí and Gertler (1999) using Bayesian GMM. US macroeconomic data suggests that the generalized NKPC (GNKPC) performs best in terms of quasi-marginal likelihood among those considered both during and after the Great Inflation period. The estimated GNKPC indicates that when trend inflation fell after the Great Inflation period, the probability of price change decreased and the GNKPC flattened, which is in line with findings by previous studies.

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趋势通胀和不断变化的通胀动态：贝叶斯 GMM 分析

通过使用贝叶斯 GMM 对 Galí 和 Gertler（1999 年）的新凯恩斯主义菲利普斯曲线（NKPC）的广义版本进行估计，对通货膨胀动态进行了研究。美国宏观经济数据表明，广义新凯恩斯主义菲利普斯曲线（GNKPC）在大通胀时期及之后的准边际似然性方面表现最佳。估计的 GNKPC 表明，当大通胀时期之后趋势通胀下降时，价格变化的概率降低，GNKPC 趋于平缓，这与之前的研究结果一致。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Review of Economic Dynamics ECONOMICS-

CiteScore

3.30

自引率

0.00%

发文量

期刊介绍： Review of Economic Dynamics publishes meritorious original contributions to dynamic economics. The scope of the journal is intended to be broad and to reflect the view of the Society for Economic Dynamics that the field of economics is unified by the scientific approach to economics. We will publish contributions in any area of economics provided they meet the highest standards of scientific research.