Measuring Price-Level Uncertainty and Instability in the U.S., 1850-2012

Timothy Cogley () and Thomas Sargent
Additional contact information
Timothy Cogley: New York University

No 2014-33, Working Papers from Economic Research Institute, Bank of Korea

Abstract: We use a flexible statistical model with stochastic volatilities to measure price level uncertainty and instability in the U.S. over the period 1850-2012. Major outbreaks associated with the Civil War, the two World Wars and Great Depression, and the Great Inflation and Great Recession alternate with three great price-level moderations, one near the turn of 20th century, another under Bretton Woods, and a third in the 1990s. Because periods of high and low volatility occur both before and after the Second World War, there is no evidence that the price level was systematically more stable or less uncertain in either era. Moderations sometimes involved a link to gold, but the experience of the 1990s proves that a well-managed fiat regime can achieve the same end.

Keywords: Price stability; inflation uncertainty; deflation risk; postwar stabilization; nonlinear signal extraction (search for similar items in EconPapers)
JEL-codes: C22 E31 (search for similar items in EconPapers)
Pages: 38 pages
Date: 2014-11-12
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://papers.bok.or.kr/RePEc_attach/wpaper/english/wp-2014-33.pdf Working Paper, 2014 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bok:wpaper:1433

Access Statistics for this paper

More papers in Working Papers from Economic Research Institute, Bank of Korea Contact information at EDIRC.
Bibliographic data for series maintained by Economic Research Institute ().