Inflation Dynamics

John H. Cochrane

Cochrane asks whether U.S. postwar inflation can be understood using a "frictionless" fiscal theory of the price level -- in which the price level is pinned down by the government's intertemporal …

Timothy Cogley · Thomas J. Sargent

This 2005 Review of Economic Dynamics paper by Timothy Cogley and Thomas J. Sargent extends their earlier Cogley-Sargent (2001) time-varying-parameter VAR (TVP-VAR) of postwar U.S.

Craig Burnside · Martin Eichenbaum · Sergio Rebelo

This paper builds a general-equilibrium model in which a currency crisis is triggered by prospective government deficits and shows that governments finance the resulting fiscal costs mainly through …

Jeffrey C. Fuhrer

Standard optimising consumption models make spending jump on impact when a shock hits, which the data flatly contradict; replacing time-separable utility with habit formation gives consumers a motive …

Jeffery D. Amato · Thomas Laubach

Adding habit formation in consumption to an optimising sticky-price model changes both the IS curve and the Phillips curve, makes the variance of output itself -- not only the output gap -- …

Matthias Doepke · Martin Schneider

Using Flow-of-Funds and Survey-of-Consumer-Finances data to reconstruct market-value nominal asset and liability positions -- including their maturity structure -- across U.S. sectors and household …

Fernando Alvarez · Robert E. Lucas · Warren E. Weber

Reconciling the consensus view that raising short rates fights inflation with the quantity-theoretic evidence that inflation and interest rates move together with money growth in the long run, this …

Ariel Burstein · Martin Eichenbaum · Sergio Rebelo

This paper argues, using data from five large devaluation episodes (Argentina 2001, Brazil 1999, Korea 1997, Mexico 1994, Thailand 1997), that the large post-devaluation fall in the real exchange rate …

Thomas J. Sargent · François R. Velde

Interpreting the French Revolution through the lens of government-budget-constraint theory, this paper traces how a pre-1789 fiscal crisis, the assignat's evolution from tax-backed money into fiat …

Maximilian Schröder

This paper introduces a Bayesian Gaussian mixture density regression framework that estimates the complete forecast distribution of inflation — not just selected quantiles — and decomposes the entire …

William Poole

This 1988 Journal of Economic Perspectives paper by William Poole is a survey and analytical essay -- not a structural estimation exercise with a formal identification strategy -- that draws lessons …

Richard Clarida · Jordi Galí · Mark Gertler

Estimating a forward-looking Federal Reserve policy rule separately for 1960-79 and 1979-96, this paper finds that the Fed let real short-term rates fall as expected inflation rose before Volcker, but …

Athanasios Orphanides

Re-estimating the Clarida-Galí-Gertler forward-looking Fed policy rule using only the real-time Greenbook forecasts available to the FOMC at the time, rather than revised after-the-fact data, this …

Apostolos Serletis · Libo Xu

Measuring the welfare cost of inflation requires specifying a money demand function, a definition of money, and an approach to consumer surplus; existing estimates vary widely because these choices …

Gabriel Ehrlich · John Haltiwanger · Ron Jarmin · David Johnson · Ed Olivares · Luke Pardue · Matthew D. Shapiro · Laura Yi Zhao

This paper implements and evaluates methods for constructing quality-adjusted price indices from item-level retail scanner data at scale — across hundreds of product categories, heterogeneously …

Jeffery D. Amato · Thomas Laubach

Letting a fraction of consumers and price setters replace optimisation with a backward-looking rule of thumb adds endogenous persistence to output and inflation, changes how shocks travel through a …

Christopher A. Sims

Against the standard narrative that only monetary policy errors could have caused or prevented the 1970s US inflation, Sims documents dramatic swings in US fiscal stance over the period and shows, in …

Michael Weber · Bernardo Candia · Hassan Afrouzi · Tiziano Ropele · Rodrigo Lluberas · Serafin Frache · Brent Meyer · Saten Kumar · Yuriy Gorodnichenko · Dimitris Georgarakos · Olivier Coibion · Geoff Kenny · Jorge Ponce

This paper uses randomized control trials (RCTs) applied over time in multiple countries to study whether the economic environment — specifically the level of inflation — affects how agents learn from …

Thomas J. Sargent · Ulf Söderström

Summarizing Sargent's "The Conquest of American Inflation," this essay compares the popular rational-expectations "triumph of natural-rate theory" account of the rise and fall of U.S. inflation …

Ulf Söderström · Anders Vredin

Introducing Thomas Sargent's monograph "The Conquest of American Inflation" to a central-bank audience, this short essay contrasts the two standard accounts of the postwar rise and fall of inflation …

Thomas J. Sargent

This paper studies the abrupt endings of four post-World War I European hyperinflations -- in Austria, Hungary, Poland, and Germany -- arguing that each stopped suddenly and at a comparatively low …

N. Gregory Mankiw

The consensus view that contractionary monetary shocks raise unemployment but only slowly and gradually lower inflation is, this lecture argues, flatly inconsistent with the forward-looking "new …

S. Borağan Aruoba · Thomas Drechsel

This 2024 Journal of Monetary Economics paper by S. Borağan Aruoba and Thomas Drechsel asks why the aggregate U.S.

Timothy Cogley · Argia M. Sbordone

This 2008 American Economic Review paper by Timothy Cogley and Argia Sbordone asks whether the substantial persistence long observed in U.S. inflation reflects a genuine structural feature of …

Robert E. Lucas, Jr.

Using quarterly U.S. money, price, and interest-rate data smoothed with a two-sided exponentially weighted moving-average filter, Lucas shows that once high-frequency "business cycle" noise is …

John H. Cochrane

Using the government-debt valuation equation -- the requirement that the real value of outstanding government debt equal the present value of future primary surpluses -- this paper argues that after …