Trend Inflation, Indexation, and Inflation Persistence in the New Keynesian Phillips Curve

By Timothy Cogley, Argia M. Sbordone. 2008

552 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/464a83e19e1b1cc53293491ffaa5a2bb9f9cb322

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

Citations in the corpus

Understanding inflation and the implications for monetary policy : a Phillips curve retrospective (2009, background): “They focus particularly on Klenow and Kryvtsov (2008), Nakamura and Steinsson (2008a and 2008b), and Dhyne et al. (2005) for Europe along with Alvarez (2008) and Alvarez and Hernando (2007), Blinder et al.”
Advances in Forecasting Under Instability (2012, unknown): “Examples of full sample estimation of models with time-varying parameters include Cogley and Sargent (2001, 2005) and Cogley and Sbordone (2008), who model the parameters driving in ation and/or unemployment dynamics in the U.S. as a random walk.”
The Slope of the Phillips Curve: Evidence from U.S. States (2020, background): “Prior work that allows for a time-varying inflation target includes Stock and Watson (2007), Ireland (2007), and Cogley and Sbordone (2008).”
The science of monetary policy: an imperfect knowledge perspective (2018, unknown): “…models with time-varying drifts are able to explain quite well the behavior of output growth, in ation and nominal interest rates see, for example, Cogley and Sbordone (2008), Stock and Watson (1989, 2007), Cogley and Sargent (2005a), Laubach and Williams (2003), Cogley, Primiceri, and Sargent…”
The Optimal Inflation Rate in New Keynesian Models: Should Central Banks Raise Their Inflation Targets in Light of the Zero Lower Bound? (2012, background): “…to replicate the apparent role for lagged inflation in empirical estimates of the New Keynesian Phillips Curve (NKPC; see Gali and Gertler, 1999), Cogley and Sbordone (2008) show that once one controls for steady-state inflation, estimates of the NKPC reject the presence of indexation in price…”
The Optimal Rate of Inflation (2010, background): “For example, the econometric estimates of the degree of price indexation reported by Cogley and Sbordone (2008) and Levin, Onatski, Williams, and Williams (2006), in the context of models exhibiting Calvo-Yun price staggering, concentrate around zero.”
Fitting observed inflation expectations (2011, unknown): “2 Models where the inflation target is time-varying are ubiquitous in the estimated DSGE literature (e.g., Smets and Wouters, 2003; Cogley and Sbordone, 2008; Justiniano et al., 2010), and are also popular in macro-finance (e.g., Kozicki and Tinsley, 2001; Gurkaynak et al., 2005; Rudebusch and…”
Empirical Evidence on Inflation Expectations in the New Keynesian Phillips Curve (2014, background): “However, Cogley and Sbordone (2008) show that if nonresetting firms’ prices are indexed to a mixture of past inflation π t−1 (weight ρ) and current trend inflation _ πt (weight 1 − ρ), then (10) π t = γ f E t π t+1 + γ b π t−1 + λ x t + γ b (β E t Δ _ π t+1 − Δ _ π t ), where γ f = β/(1 +…”
The Macroeconomics of Trend Inflation (2014, methodology): “In one specification the curve has a backward-looking component, as in Galí and Gertler (1999), while in the other it is purely forward-looking, and the inflation persistence is picked up by the time-varying inflation trend (the specification is similar to that of Cogley and Sbordone 2008).”
Real-Time Inflation Forecasting in a Changing World (2009, unknown): “As another example, the pattern observed in the βjt for unemployment resembles those uncovered in other studies (for example, Cogley et al. (2007)): in periods of high average inflation (i.”