Trend Inflation and the Nature of Structural Breaks in the New Keynesian Phillips Curve

We show that with a unit root in inflation, the new Keynesian Phillips curve (NKPC) implies an unobserved components model with a stochastic trend component and an inflation gap. Our empirical results suggest that with an increase in trend inflation during the Great Inflation, the response of inflat...

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Veröffentlicht in:	Journal of money, credit and banking credit and banking, 2014-03, Vol.46 (2-3), p.253-266
Hauptverfasser:	KIM, CHANG-JIN, MANOPIMOKE, PYM, NELSON, CHARLES R.
Format:	Artikel
Sprache:	eng
Schlagworte:	Bank credit C32 E12 E31 Econometrics Economic activity Economic inflation Economic models Economic trends Empirical research Inflation inflation gap Inflation rates Inflation shocks inobserved components model Keynesian theory Keynesianism Monetary policy New Keynesian Phillips Curve Output gaps Phillips curve Stochastic models Stochastic processes structural breaks Studies trend inflation Unit root
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