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Yuriy Gorodnichenko - One of the best experts on this subject based on the ideXlab platform.
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the formation of expectations inflation and the Phillips Curve
Research Papers in Economics, 2017Co-Authors: Olivier Coibion, Yuriy Gorodnichenko, Rupal KamdarAbstract:This paper argues for a careful (re)consideration of the expectations formation process and a more systematic inclusion of real-time expectations through survey data in macroeconomic analyses. While the rational expectations revolution has allowed for great leaps in macroeconomic modeling, the surveyed empirical micro-evidence appears increasingly at odds with the full-information rational expectation assumption. We explore models of expectation formation that can potentially explain why and how survey data deviate from full-information rational expectations. Using the New Keynesian Phillips Curve as an extensive case study, we demonstrate how incorporating survey data on inflation expectations can address a number of otherwise puzzling shortcomings that arise under the assumption of full-information rational expectations.
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is the Phillips Curve alive and well after all inflation expectations and the missing disinflation
American Economic Journal: Macroeconomics, 2015Co-Authors: Olivier Coibion, Yuriy GorodnichenkoAbstract:We evaluate explanations for the absence of disinflation during the Great Recession and find popular explanations to be insufficient. We propose a new explanation for this puzzle within the context of a standard Phillips Curve. If firms’ inflation expectations track those of households, then the missing disinflation can be explained by the rise in their inflation expectations between 2009 and 2011. We present new econometric and survey evidence consistent with firms having similar expectations as households. The rise in household inflation expectations from 2009 to 2011 can be explained by the increase in oil prices over this time period. (JEL D84, E24, E32, E52, E58, Q35)
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is the Phillips Curve alive and well after all inflation expectations and the missing disinflation
Research Papers in Economics, 2013Co-Authors: Olivier Coibion, Yuriy GorodnichenkoAbstract:We evaluate possible explanations for the absence of a persistent decline in inflation during the Great Recession and find commonly suggested explanations to be insufficient. We propose a new explanation for this puzzle within the context of a standard Phillips Curve. If firms' inflation expectations track those of households, then the missing disinflation can be explained by the rise in their inflation expectations between 2009 and 2011. We present new econometric and survey evidence consistent with firms having similar expectations as households. The rise in household inflation expectations from 2009 to 2011 can be explained by the increase in oil prices over this time period.
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is the Phillips Curve alive and well after all inflation expectations and the missing disinflation
Social Science Research Network, 2013Co-Authors: Olivier Coibion, Yuriy GorodnichenkoAbstract:We evaluate possible explanations for the absence of a persistent decline in inflation during the Great Recession and find commonly suggested explanations to be insufficient. We propose a new explanation for this puzzle within the context of a standard Phillips Curve. If firms' inflation expectations track those of households, then the missing disinflation can be explained by the rise in their inflation expectations between 2009 and 2011. We present new econometric and survey evidence consistent with firms having similar expectations as households. The rise in household inflation expectations from 2009 to 2011 can be explained by the increase in oil prices over this time period.Institutional subscribers to the NBER working paper series, and residents of developing countries may download this paper without additional charge at www.nber.org.
Amir Sufi - One of the best experts on this subject based on the ideXlab platform.
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prospects for inflation in a high pressure economy is the Phillips Curve dead or is it just hibernating
Research in Economics, 2020Co-Authors: Peter Hooper, Frederic S Mishkin, Amir SufiAbstract:Abstract As the US labor market has tightened beyond full employment with relatively little evidence of inflation pressure, observers are increasingly inclined to declare the demise of the Phillips Curve, that is, the flattening of its slope to zero. This paper reviews a substantial range of empirical evidence on this point, by assessing the performance of the conventional expectations-augmented Phillips Curve for both prices and wages, based on both historical macro or national level data and panel data for states and MSAs (cities). National data going back to the 1950s and 60s yield strong evidence of negative slopes and significant nonlinearity in those slopes, with slopes much steeper in tight labor markets than in easy labor markets. This evidence of both slope and nonlinearity weakens dramatically based on macro data since the 1980s for the price Phillips Curve, but not the wage Phillips Curve. However, the endogeneity of monetary policy and the lack of variation of the unemployment gap, which has few episodes of being substantially below zero in this sample period, makes the price Phillips Curve estimates from this period less reliable. At the same time, state level and MSA level data since the 1980s yield significant evidence of both negative slope and nonlinearity in the Phillips Curve. The difference between national and city/state results in recent decades can be explained by the success that monetary policy has had in quelling inflation and anchoring inflation expectations since the 1980s. We also review the experience of the 1960s, the last time inflation expectations became unanchored, and observe both parallels and differences with today. Our analysis suggests that reports of the death of the Phillips Curve may be greatly exaggerated.
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prospects for inflation in a high pressure economy is the Phillips Curve dead or is it just hibernating
2019Co-Authors: Peter Hooper, Frederic S Mishkin, Amir SufiAbstract:This paper reviews a substantial range of empirical evidence on whether the Phillips Curve is dead, i.e. that its slope has flattened to zero. National data going back to the 1950s and 60s yield strong evidence of negative slopes and significant nonlinearity in those slopes, with slopes much steeper in tight labor markets than in easy labor markets. This evidence of both slope and nonlinearity weakens dramatically based on macro data since the 1980s for the price Phillips Curve, but not the wage Phillips Curve. However, the endogeneity of monetary policy and the lack of variation of the unemployment gap, which has few episodes of being substantially below zero in tis sample period, makes the price Phillips Curve estimates from this period less reliable. At the same time, state level and MSA level data since the 1980s yield significant evidence of both negative slope and nonlinearity in the Phillips Curve. The difference between national and city/state results in recent decades can be explained by the success that monetary policy has had in quelling inflation and anchoring inflation expectations since the 1980s. We also review the experience of the 1960s, the last time inflation expectations became unanchored, and observe both parallels and differences with today. Our analysis suggests that reports of the death of the Phillips Curve may be greatly exaggerated. Institutional subscribers to the NBER working paper series, and residents of developing countries may download this paper without additional charge at www.nber.org.
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prospects for inflation in a high pressure economy is the Phillips Curve dead or is it just hibernating
National Bureau of Economic Research, 2019Co-Authors: Peter Hooper, Frederic S Mishkin, Amir SufiAbstract:This paper reviews a substantial range of empirical evidence on whether the Phillips Curve is dead, i.e. that its slope has flattened to zero. National data going back to the 1950s and 60s yield strong evidence of negative slopes and significant nonlinearity in those slopes, with slopes much steeper in tight labor markets than in easy labor markets. This evidence of both slope and nonlinearity weakens dramatically based on macro data since the 1980s for the price Phillips Curve, but not the wage Phillips Curve. However, the endogeneity of monetary policy and the lack of variation of the unemployment gap, which has few episodes of being substantially below zero in tis sample period, makes the price Phillips Curve estimates from this period less reliable. At the same time, state level and MSA level data since the 1980s yield significant evidence of both negative slope and nonlinearity in the Phillips Curve. The difference between national and city/state results in recent decades can be explained by the success that monetary policy has had in quelling inflation and anchoring inflation expectations since the 1980s. We also review the experience of the 1960s, the last time inflation expectations became unanchored, and observe both parallels and differences with today. Our analysis suggests that reports of the death of the Phillips Curve may be greatly exaggerated.
James H Stock - One of the best experts on this subject based on the ideXlab platform.
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empirical evidence on inflation expectations in the new keynesian Phillips Curve
Journal of Economic Literature, 2014Co-Authors: Sophocles Mavroeidis, Mikkel Plagborgmoller, James H StockAbstract:Abstract We review the main identification strategies and empirical evidence on the role of expectations in the New Keynesian Phillips Curve, paying particular attention to the issue of weak identi...
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empirical evidence on inflation expectations in the new keynesian Phillips Curve
Research Papers in Economics, 2014Co-Authors: Sophocles Mavroeidis, Mikkel Plagborgmoller, James H StockAbstract:We review the main identification strategies and empirical evidence on the role of expectations in the New Keynesian Phillips Curve, paying particular attention to the issue of weak identification. Our goal is to provide a clear understanding of the role of expectations that integrates across the different papers and specifications in the literature. We discuss the properties of the various limited-information econometric methods used in the literature and provide explanations of why they produce conflicting results. Using a common dataset and a flexible empirical approach, we find that researchers are faced with substantial specification uncertainty, as different combinations of various a priori reasonable specification choices give rise to a vast set of point estimates. Moreover, given a specification, estimation is subject to considerable sampling uncertainty due to weak identification. We highlight the assumptions that seem to matter most for identification and the configuration of point estimates. We conclude that the literature has reached a limit on how much can be learned about the New Keynesian Phillips Curve from aggregate macroeconomic time series. New identification approaches and new datasets are needed to reach an empirical consensus.
Ichiro Muto - One of the best experts on this subject based on the ideXlab platform.
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estimating a new keynesian Phillips Curve with a corrected measure of real marginal cost evidence in japan
Economic Inquiry, 2009Co-Authors: Ichiro MutoAbstract:"We estimate a New Keynesian Phillips Curve (NKPC) in Japan, focusing on the measurement of real marginal cost (RMC). Especially, we correct labor share by taking account of two kinds of labor market frictions: (1) labor adjustment costs and (2) real wage rigidity. Our results show that the consideration of these labor market frictions greatly improves the fit of Japan's NKPC. Furthermore, if we additionally incorporate materials prices in the calculation of RMC then the fit of the NKPC is further improved. The conventional backward-looking component is no more needed to explain Japan's inflation dynamics if we use a corrected measure of RMC. (JEL" E31) Copyright (c) 2008 Western Economic Association International.
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estimating a new keynesian Phillips Curve with a corrected measure of real marginal cost evidence in japan
MPRA Paper, 2007Co-Authors: Ichiro MutoAbstract:We estimate a New Keynesian Phillips Curve (NKPC) in Japan, focusing on the measurement of real marginal cost (RMC). Especially, we correct labor share by taking account of two kinds of labor market frictions: (i) labor adjustment costs and (ii) real wage rigidity. Our results show that the consideration of these labor market frictions greatly improves the fit of Japan's NKPC. Furthermore, if we additionally incorporate materials prices in the calculation of RMC, then the fit of the NKPC is further improved. Our most important finding is that the conventional backward-looking component is no more needed to explain Japan's inflation dynamics if we use a corrected measure of RMC.
Olivier Coibion - One of the best experts on this subject based on the ideXlab platform.
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the formation of expectations inflation and the Phillips Curve
Research Papers in Economics, 2017Co-Authors: Olivier Coibion, Yuriy Gorodnichenko, Rupal KamdarAbstract:This paper argues for a careful (re)consideration of the expectations formation process and a more systematic inclusion of real-time expectations through survey data in macroeconomic analyses. While the rational expectations revolution has allowed for great leaps in macroeconomic modeling, the surveyed empirical micro-evidence appears increasingly at odds with the full-information rational expectation assumption. We explore models of expectation formation that can potentially explain why and how survey data deviate from full-information rational expectations. Using the New Keynesian Phillips Curve as an extensive case study, we demonstrate how incorporating survey data on inflation expectations can address a number of otherwise puzzling shortcomings that arise under the assumption of full-information rational expectations.
-
is the Phillips Curve alive and well after all inflation expectations and the missing disinflation
American Economic Journal: Macroeconomics, 2015Co-Authors: Olivier Coibion, Yuriy GorodnichenkoAbstract:We evaluate explanations for the absence of disinflation during the Great Recession and find popular explanations to be insufficient. We propose a new explanation for this puzzle within the context of a standard Phillips Curve. If firms’ inflation expectations track those of households, then the missing disinflation can be explained by the rise in their inflation expectations between 2009 and 2011. We present new econometric and survey evidence consistent with firms having similar expectations as households. The rise in household inflation expectations from 2009 to 2011 can be explained by the increase in oil prices over this time period. (JEL D84, E24, E32, E52, E58, Q35)
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is the Phillips Curve alive and well after all inflation expectations and the missing disinflation
Research Papers in Economics, 2013Co-Authors: Olivier Coibion, Yuriy GorodnichenkoAbstract:We evaluate possible explanations for the absence of a persistent decline in inflation during the Great Recession and find commonly suggested explanations to be insufficient. We propose a new explanation for this puzzle within the context of a standard Phillips Curve. If firms' inflation expectations track those of households, then the missing disinflation can be explained by the rise in their inflation expectations between 2009 and 2011. We present new econometric and survey evidence consistent with firms having similar expectations as households. The rise in household inflation expectations from 2009 to 2011 can be explained by the increase in oil prices over this time period.
-
is the Phillips Curve alive and well after all inflation expectations and the missing disinflation
Social Science Research Network, 2013Co-Authors: Olivier Coibion, Yuriy GorodnichenkoAbstract:We evaluate possible explanations for the absence of a persistent decline in inflation during the Great Recession and find commonly suggested explanations to be insufficient. We propose a new explanation for this puzzle within the context of a standard Phillips Curve. If firms' inflation expectations track those of households, then the missing disinflation can be explained by the rise in their inflation expectations between 2009 and 2011. We present new econometric and survey evidence consistent with firms having similar expectations as households. The rise in household inflation expectations from 2009 to 2011 can be explained by the increase in oil prices over this time period.Institutional subscribers to the NBER working paper series, and residents of developing countries may download this paper without additional charge at www.nber.org.
