Explaining inflation persistence by a time-varying Taylor rule
In a simple New Keynesian model, we derive a closed form solution for the inflation persistence parameter as a function of the policy weights in the central bank’s Taylor rule. By estimating the time-varying weights that the FED attaches to inflation and the output gap, we show that the empirically...
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| Main Authors: | , |
|---|---|
| Format: | Book/Monograph Working Paper |
| Language: | English |
| Published: |
[Heidelberg]
Alfred-Weber-Institut
September 2010
Heidelberg Universitätsbibliothek der Universität Heidelberg September 2010 |
| Series: | Discussion paper series / University of Heidelberg, Department of Economics
504 |
| In: |
Discussion paper series (no. 504)
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| Subjects: | |
| Online Access: | Resolving-System, kostenfrei, Volltext: http://nbn-resolving.de/urn:nbn:de:bsz:16-opus-110433 Resolving-System, Volltext: http://hdl.handle.net/10419/127321 
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| Author Notes: | Christian Conrad and Thomas A. Eife |
MARC
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| 520 | |a In a simple New Keynesian model, we derive a closed form solution for the inflation persistence parameter as a function of the policy weights in the central bank’s Taylor rule. By estimating the time-varying weights that the FED attaches to inflation and the output gap, we show that the empirically observed changes in U.S. inflation persistence during the period 1975 to 2010 can be well explained by changes in the conduct of monetary policy. Our findings are in line with Benati’s (2008) view that inflation persistence should not be considered a structural parameter in the sense of Lucas. | ||
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