Download or read book Modelling Inflation Dynamics written by Jeremy B. Rudd and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In recent years, a broad academic consensus has arisen around the use of rational expectations sticky-price models to capture inflation dynamics. These models are seen as providing an empirically reasonable characterization of observed inflation behavior once suitable measures of the output gap are chosen; and, moreover, are perceived to be robust to the Lucas critique in a way that earlier econometric models of inflation are not. We review the principal conclusions of this literature concerning: 1) the ability of these models to fit the data; 2) the importance of rational forward-looking expectations in price setting; and 3) the appropriate measure of inflationary pressures. We argue that existing rational expectations sticky-price models fail to provide a useful empirical description of the inflation process, especially relative to traditional econometric Phillips curves of the sort commonly employed for policy analysis and forecasting.

Download or read book Modelling Inflation Dynamics written by Jeremy Bay Rudd and published by . This book was released on 2005 with total page 78 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Explaining Inflation in Colombia A Disaggregated Phillips Curve Approach written by Mr.Sergi Lanau and published by International Monetary Fund. This book was released on 2018-05-10 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study inflation dynamics in Colombia using a bottom-up Phillips curve approach. This allows us to capture the different drivers of individual inflation components. We find that the Phillips curve is relatively flat in Colombia but steeper than recent estimates for the U.S. Supply side shocks play an important role for tradable and food prices, while indexation dynamics are important for non-tradable goods. We show that besides allowing for a more detailed understanding of inflation drivers, the bottom-up approach also improves on an aggregate Phillips curve in terms of forecasting ability. In the baseline forecast scenario, both headline and core inflation converge towards the Central Bank’s inflation target of 3 percent by end-2018 but these favorable inflation dynamics are vulnerable to large supply shocks.

Download or read book Inflation Dynamics and Inflation Uncertainty in a Model with Heterogeneous Forecasts written by William A. Brock and published by . This book was released on 2015 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent research in macroeconomics has sought to develop a tractable form of heterogeneity in attempting to model sluggishness of response of the economy consistent with data. Sims (2003) argued that limited information processing was a promising avenue for understanding pervasive stickiness. Under his rational inattention, consumers or firms respond more slowly to the true underlying state of the economy because they are learning what the true state is. The information flow necessary to completely understand the true state of the economy is too overwhelming. In our paper, we have an endogenous ecology of expectations. Formally, we consider a model economy with a generic number of expectations formation types, represented by I. We develop a mapping from which conceptualizes the dynamics of the ecology of expectations. This mapping has a fixed point that describes a long run stationary equilibrium after an appropriate change of units. We show that a stationary equilibrium exists. We study the response differences in the dynamics of the inflation rate to changes in the mean and variance of the money supply process in economies indexed by the fraction of agents that have fully structural rational expectations. We develop small noise expansions to obtain analytical results of our economy in response to stochastic money supply processes. Lastly, we apply robust control methods, deriving conditions in which robustness leads to a temporary strong increase in the demand for money. Inflationary pressures are accordingly dampened. These results have implications for cases, like the Great Recession, in which the effects of greater model uncertainty may have played a role in keeping inflation rates low even in the face of expanding money supply.

Download or read book Inflation Dynamics in a New Keynesian Model written by Jonathan Ireland and published by . This book was released on 1994 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Modeling Inflation in Chad written by Mr.Tidiane Kinda and published by International Monetary Fund. This book was released on 2011-03-01 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the determinants of inflation in Chad using quarterly data from 1983:Q1 to 2009:Q3. The analysis is based on a single-equation model, completed by a structural vector auto regression model to capture inflation persistence. The results show that the main determinants of inflation in Chad are rainfall, foreign prices, exchange rate movements, and public spending. The effects of rainfall shocks and changes in foreign prices on inflation persist during six quarters. Changes in public spending and the nominal exchange rate affect inflation during three and four quarters, respectively.

Download or read book Inflation Dynamics written by Jordi Galí and published by . This book was released on 1999 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Inflation Dynamics written by Jordi Galí and published by . This book was released on 2000 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop and estimate a structural model of inflation that allows for a fraction of firms that use a backward looking rule to set prices. The model nests the purely forward looking New Keynesian Phillips curve as a particular case. We use measures of arginal cost as the relevant determinant of inflation, as the theory suggests, instead of an ad-hoc output gap. Real marginal costs are a significant and quantitatively important determinant of inflation. Backward looking price setting, while statistically significant, is not quantitatively important. Thus, we conclude that the New Keynesian Phillips curve provides a good first approximation to the dynamics of inflation.

Download or read book Modelling Inflation and the Dynamics of Inflation Forecasting in Malawi written by Perks M. Ligoya and published by . This book was released on 2000 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Modelling Inflation Dynamics in Transition Economies The Case of Ukraine written by Boriss Siliverstovs and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Modeling Inflation Dynamics with Fractional Brownian Motions and L vy Processes written by Bodo Herzog and published by . This book was released on 2019 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The article studies a novel approach of inflation modeling in economics. We utilize a stochastic differential equation (SDE) of the form d X t = a X t dt + b X t d B t H , where d B t H is a fractional Brownian motion in order to model inflationary dynamics. Standard economic models do not capture the stochastic nature of inflation in the Eurozone. Thus, we develop a new stochastic approach and take into consideration fractional Brownian motions as well as Lévy processes. The benefits of those stochastic processes are the modeling of interdependence and jumps, which is equally confirmed by empirical inflation data. The article defines and introduces the rules for stochastic and fractional processes and elucidates the stochastic simulation output.

Download or read book Essay on Modeling Inflation Dynamics written by Christian Menegatti and published by . This book was released on 2005 with total page 148 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book U S Inflation Dynamics written by Ravi Balakrishnan and published by International Monetary Fund. This book was released on 2006-06 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper aims to improve the understanding of U.S. inflation dynamics by separating out structural from cyclical effects using frequency domain techniques. Most empirical studies of inflation dynamics do not distinguish between secular and cyclical movements, and we show that such a distinction is critical. In particular, we study traditional Phillips curve (TPC) and new Keynesian Phillips curve (NKPC) models of inflation, and conclude that the long-run secular decline in inflation cannot be explained in terms of changes in external trade and global factor markets. These variables tend to impact inflation primarily over the business cycle. We infer that the secular decline in inflation may well reflect improved monetary policy credibility and, thus, maintaining low inflation in the long run is closely linked to anchored inflation expectations.

Download or read book A Traditional Phillips Curve Approach to Modelling Euro Area Inflation Dynamics written by John Larkin and published by . This book was released on 2012 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Modeling U S Inflation Dynamics written by Markus Jochmann and published by . This book was released on 2010 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Modeling Inflation Dynamics in Sudan 2008 2013 written by Ibrahim A. Onour and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Inflation As a Global Phenomenon Some Implications for Inflation Modelling and Forecasting written by Ayşe Kabukcuoglu Dur and published by . This book was released on 2017 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: Kabukçuoğlu and Martínez-García (Forthcoming) model local inflation dynamics using global inflation and domestic slack motivated by a novel interpretation of the implications of the workhorse open-economy New Keynesian model. Then, Kabukçuoğlu and Martínez-García (Forthcoming) evaluate the pseudo out-of-sample performance of inflation forecasts based on the theoretically-consistent single-equation forecasting specification implied by theory, exploiting the international linkages of inflation. In this paper, we provide a detailed description of the structure of the workhorse open-economy New Keynesian model underlying their analysis derived from first principles. Furthermore, we characterize the solution of the log-linearized model under Wicksellian-style Taylor (1993) monetary policy rules and prove analytically the key equilibrium relationships that Kabukçuoğlu and Martínez-García (Forthcoming) use for inflation forecasting. We make note in particular of the role that the slope of the Phillips curve plays in the equilibrium solution of the workhorse open-economy New Keynesian model and for forecasting purposes. We also include additional results (robustness checks) that support and complement the pseudo out-of-sample forecasting evaluation exercises and the in-sample analysis of the fit of the model reported in Kabukçuoğlu and Martínez-García (Forthcoming).