Inflation Persistence—An Update with December Data

Martin Almuzara and Argia M. Sbordone
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Argia M. Sbordone: https://www.newyorkfed.org/research/economists/sbordone

No 20230207, Liberty Street Economics from Federal Reserve Bank of New York

Abstract: This post presents an updated estimate of inflation persistence, following the release of personal consumption expenditure (PCE) price data for December 2022. The estimates are obtained by the Multivariate Core Trend (MCT), a model we introduced on Liberty Street Economics last year and covered most recently in a January post. The MCT is a dynamic factor model estimated on monthly data for the seventeen major sectors of the PCE price index. It decomposes each sector’s inflation as the sum of a common trend, a sector-specific trend, a common transitory shock, and a sector-specific transitory shock. The trend in PCE inflation is constructed as the sum of the common and the sector-specific trends weighted by the expenditure shares.

Keywords: inflation persistence; core inflation; housing (search for similar items in EconPapers)
JEL-codes: E31 (search for similar items in EconPapers)
Date: 2023-02-07
New Economics Papers: this item is included in nep-mon
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