Arbeitspapier
Understanding trend inflation through the lens of the goods and services sectors
We distinguish between the goods and services sectors in an otherwise standard unobserved components model of US inflation. Our main finding is that, while both sectors used to contribute to the overall variation in aggregate trend inflation, since the 1990s this variation has been driven almost entirely by the services sector. Two changes in sector-specific inflation dynamics are responsible for this finding: (i) a large fall in the variance of trend goods inflation; and (ii) the disappearance of comovement between trend goods and trend services inflation. Extensions to our baseline analysis by excluding energy prices and decomposing trend inflation into a common and a relative price component suggest a possible role of monetary policy in explaining our empirical findings. We also document similar changes in inflation dynamics internationally when extending our analysis to Australia and Canada.
- Sprache
-
Englisch
- Erschienen in
-
Series: Bank of Canada Staff Working Paper ; No. 2020-45
- Klassifikation
-
Wirtschaft
Bayesian Analysis: General
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Price Level; Inflation; Deflation
Monetary Policy
- Thema
-
Econometric and statistical methods
Transmission of monetary policy
Inflation and prices
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Eo, Yunjong
Uzeda, Luis
Wong, Benjamin
- Ereignis
-
Veröffentlichung
- (wer)
-
Bank of Canada
- (wo)
-
Ottawa
- (wann)
-
2020
- DOI
-
doi:10.34989/swp-2020-45
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:46 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Eo, Yunjong
- Uzeda, Luis
- Wong, Benjamin
- Bank of Canada
Entstanden
- 2020
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