Arbeitspapier
Inflation dynamics and international linkages: a model of the United States, the euro area and Japan
In this paper we estimate a small macroeconometric model of the United States, the euro area and Japan with rational expectations and nominal rigidities due to staggered contracts. Comparing three popular contracting specifications we find that euro area and Japanese inflation dynamics are best explained by Taylor-style contracts, while Buiter-Jewitt/Fuhrer-Moore contracts perform somewhat better in fitting U.S. inflation dynamics. We are unable to fit Calvo-style contracts to inflation dynamics in any of the three economies without allowing either for ad-hoc persistence in unobservables or a significant backward-looking element. The completed model matches inflation and output dynamics in the United States, the euro area and Japan quite well. We then use it to evaluate the role of the exchange rate for monetary policy. Preliminary results, which are similar across the three economies, indicate little gain from a direct policy response to the exchange rate.
- Language
-
Englisch
- Bibliographic citation
-
Series: ECB Working Paper ; No. 181
- Classification
-
Wirtschaft
Price Level; Inflation; Deflation
Monetary Policy
Central Banks and Their Policies
Policy Objectives; Policy Designs and Consistency; Policy Coordination
- Event
-
Geistige Schöpfung
- (who)
-
Coenen, Günter
Wieland, Volker
- Event
-
Veröffentlichung
- (who)
-
European Central Bank (ECB)
- (where)
-
Frankfurt a. M.
- (when)
-
2002
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Coenen, Günter
- Wieland, Volker
- European Central Bank (ECB)
Time of origin
- 2002
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