Replication data for: Inflation-Gap Persistence in the US

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Project Citation:

Cogley, Timothy, Primiceri, Giorgio E., and Sargent, Thomas J. Replication data for: Inflation-Gap Persistence in the US. Nashville, TN: American Economic Association [publisher], 2010. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-12. https://doi.org/10.3886/E114167V1

Project Description

Summary: We estimate vector autoregressions with drifting coefficients and stochastic volatility to investigate whether US inflation persistence has changed. We focus on the inflation gap, defined as the difference between inflation and trend inflation, and we measure persistence in terms of short- to medium-term predictability. We present evidence that inflation-gap persistence increased during the Great Inflation and that it fell after the Volcker disinflation. We interpret these changes using a dynamic new Keynesian model that highlights the importance of changes in the central bank's inflation target. (JEL E12, E31, E52, E58)

Scope of Project

JEL Classification:
      E12 General Aggregative Models: Keynes; Keynesian; Post-Keynesian; Modern Monetary Theory
      E31 Price Level; Inflation; Deflation
      E52 Monetary Policy
      E58 Central Banks and Their Policies

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Published Versions

V1 [2019-10-12]

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