对通货膨胀预期的冲击

IF 2.3 3区经济学 Q2 ECONOMICS

Review of Economic Dynamics Pub Date : 2024-06-19 DOI:10.1016/j.red.2024.101234

Jonathan J. Adams , Philip Barrett

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引用次数: 0

摘要

中央银行家的共识是，较高的通胀预期会推高实际通胀。我们通过设计一种识别通胀预期冲击的新方法来评估这一点，我们估算了一个半结构 VAR，其中预期冲击被识别为导致测量预测偏离理性预期的冲击。令人惊讶的是，我们利用美国的数据发现，正的通胀预期冲击会导致紧缩和通货紧缩：产出、通胀和利率都会下降。这些结果与标准的新凯恩斯主义模型不一致，后者预测通胀和利率上升。

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Shocks to inflation expectations

The consensus among central bankers is that higher inflation expectations can drive up actual inflation. We assess this by devising a novel method for identifying shocks to inflation expectations, estimating a semi-structural VAR where an expectation shock is identified as that which causes measured forecasts to diverge from the rational expectation. Surprisingly, using data for the United States we find that a positive inflation expectation shock is contractionary and deflationary: output, inflation, and interest rates all fall. These results are inconsistent with the standard New Keynesian model, which predicts inflation and interest rate hikes.

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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.