Thomas Hasenzagl, Filippo Pellegrino, Lucrezia Reichlin, Giovanni Ricco
arXiv 25 Jun 2020 · Econometrics · publishedThe Review of Economics and Statistics (2020) · 63 citations (OpenAlex)
arXiv:2006.14110 · PDF · DOI · OpenAlex · Extracted main text
We develop a medium-size semi-structural time series model of inflation dynamics that is consistent with the view - often expressed by central banks - that three components are important: a trend anchored by long-run expectations, a Phillips curve and temporary fluctuations in energy prices. We find that a stable long-term inflation trend and a well identified steep Phillips curve are consistent with the data, but they imply potential output declining since the new millennium and energy prices affecting headline inflation not only via the Phillips curve but also via an independent expectational channel. A high-frequency energy price cycle can be related to global factors affecting the commodity market, and often overpowers the Phillips curve thereby explaining the inflation puzzles of the last ten years.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Coibion and Gorodnichenko (2015) Is the Phillips Curve Alive and Well after All? Inflation Expectations and the Missing Disinflation | 1.000 | 6 | 3 | 100% |
| 2 | Beveridge and Nelson (1981) A new approach to decomposition of economic time series into permanent and transitory components with particular attention to me… | 0.843 | 3 | 3 | 100% |
| 3 | Stock and Watson (2007) Why has US inflation become harder to forecast? | 0.811 | 4 | 2 | 100% |
| 4 | Blanchard, Cerutti and Summers (2015) Inflation and Activity: Two Explorations and Their Monetary Policy Implications | 0.737 | 3 | 2 | 100% |
| 5 | Mertens (2016) Measuring the Level and Uncertainty of Trend Inflation | 0.737 | 3 | 2 | 100% |
| 6 | Phillips (1958) The Relation Between Unemployment and the Rate of Change of Money Wage Rates in the United Kingdom, 1861?19571 | 0.644 | 2 | 2 | 100% |
| 7 | Hall, Watson, Stock and Fernald (2017) The Slow Recovery in Output after 2009 | 0.644 | 2 | 2 | 100% |
| 8 | Tsoukis, Kapetanios and Pearlman (2011) Elusive Persistence: Wage And Price Rigidities, The New Keynesian Phillips Curve And Inflation Dynamics | 0.644 | 2 | 2 | 100% |
| 9 | Borio, Disyatat and Juselius (2017) Rethinking potential output: embedding information about the financial cycle | 0.644 | 2 | 2 | 100% |
| 10 | Gordon (1982) Inflation, Flexible Exchange Rates, and the Natural Rate of Unemployment | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 72 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | 0.01cm darkpowderblue A Neural Phillips Curve and a Deep Output Gap | 0.928 | 4 | 3 |
| 2 | Monitoring the Economy in Real Time: Trends and Gaps in Real Activity and Prices | 0.874 | 5 | 2 |
| 3 | International vulnerability of inflation | 0.405 | 1 | 1 |
| 4 | Measuring the Euro Area Output Gap$^$ | 0.405 | 1 | 1 |