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Replication data for: Inflation-Gap Persistence in the US

Version
V0
Resource Type
Dataset
Creator
  • Cogley, Timothy
  • Primiceri, Giorgio E.
  • Sargent, Thomas J.
Publication Date
2010-01-01
Description
  • Abstract

    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)
Availability
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Relations
  • Is supplement to
    DOI: 10.1257/mac.2.1.43 (Text)
Publications
  • Cogley, Timothy, Giorgio E. Primiceri, and Thomas J. Sargent. “Inflation-Gap Persistence in the US.” American Economic Journal: Macroeconomics 2, no. 1 (January 2010): 43–69. https://doi.org/10.1257/mac.2.1.43.
    • ID: 10.1257/mac.2.1.43 (DOI)

Update Metadata: 2020-05-18 | Issue Number: 2 | Registration Date: 2019-10-13

Cogley, Timothy; Primiceri, Giorgio E.; Sargent, Thomas J. (2010): Replication data for: Inflation-Gap Persistence in the US. Version: V0. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/E114167