Structural shocks and trend inflation

Working Paper Series, Department of Economics, University of Utah from University of Utah, Department of Economics

Abstract: We propose an unobserved components model with stochastic volatility and structural shocks to explore the relevant factors that influence trend inflation in the USA. Using structural shocks that incorporate a broad set of information for the US economy, we find that four structural shocks have significant effects on trend inflation: productivity, price mark-up, government policy, and finance. During and in the aftermath of the Great Recession, trend inflation became more volatile after incorporating the structural shocks, implying that long-run inflation expectations tended to be less well-anchored in these periods.

Keywords: trend inflation; structural shocks; dynamics of inflation expectations; unobserved components; stochastic volatility. JEL Classification: C11; C32; E31; E37 (search for similar items in EconPapers)
Pages: 15
Date: 2023
New Economics Papers: this item is included in nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://economics.utah.edu/research/publications/2023-04.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:uta:papers:2023_04

Access Statistics for this paper

More papers in Working Paper Series, Department of Economics, University of Utah from University of Utah, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by ().