Trend Inflation and Evolving Inflation Dynamics:A Bayesian GMM Analysis

Yasufumi Gemma, Takushi Kurozumi and Mototsugu Shintani
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Yasufumi Gemma: Bank of Japan

Review of Economic Dynamics, 2023, vol. 51, 506-520

Abstract: Inflation dynamics are investigated by estimating a generalized version of the New Keynesian Phillips curve (NKPC) of Galí and Gertler (1999) using Bayesian GMM. US macroeconomic data suggests that the generalized NKPC (GNKPC) performs best in terms of quasi-marginal likelihood among those considered both during and after the Great Inflation period. The estimated GNKPC indicates that when trend inflation fell after the Great Inflation period, the probability of price change decreased and the GNKPC flattened, which is in line with findings by previous studies. (Copyright: Elsevier)

Keywords: Inflation dynamics; Trend inflation; Inflation inertia; Bayesian GMM; Quasi-marginal likelihood (search for similar items in EconPapers)
JEL-codes: C11 C26 E31 (search for similar items in EconPapers)
Date: 2023
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Working Paper: Trend Inflation and Evolving Inflation Dynamics: A Bayesian GMM Analysis of the Generalized New Keynesian Phillips Curve (2017)
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DOI: 10.1016/j.red.2023.05.003

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