The dynamics of US inflation: Can monetary policy explain the changes?

Fabio Canova and Filippo Ferroni

Journal of Econometrics, 2012, vol. 167, issue 1, 47-60

Abstract: We investigate the relationship between monetary policy and inflation dynamics in the US using a medium scale structural model. The specification is estimated with Bayesian techniques and fits the data reasonably well. Policy shocks account for a part of the decline in inflation volatility; they have been less effective in triggering inflation responses over time and qualitatively account for the rise and fall in the level of inflation. A number of structural parameter variations contribute to these patterns.

Keywords: New Keynesian model; Bayesian methods; Monetary policy; Inflation dynamics (search for similar items in EconPapers)
JEL-codes: C53 E47 E52 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (41)

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Working Paper: The dynamics of US inflation: Can monetary policy explain the changes? (2010)
Working Paper: The Dynamics of US Inflation: Can Monetary Policy Explain the Changes?
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:167:y:2012:i:1:p:47-60

DOI: 10.1016/j.jeconom.2011.08.008

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