Inflation dynamics in the frequency domain

Manuel Martins and Fabio Verona

Economics Letters, 2023, vol. 231, issue C

Abstract: We use a New Keynesian Phillips Curve to study the dynamics of inflation in the frequency domain. Inflation expectations dominate medium-to-long-run cycles, energy inflation dominate short cycles and also longer cycles once expectations became anchored. While statistically significant, unemployment is not economically relevant at any frequency band.

Keywords: Inflation dynamics; New Keynesian Phillips Curve; Frequency domain; Wavelets (search for similar items in EconPapers)
JEL-codes: C63 E24 E31 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:231:y:2023:i:c:s0165176523003294

DOI: 10.1016/j.econlet.2023.111304

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