Arbeitspapier
Inflation dynamics and regime shifts
This paper extends the New Keynesian model to allow for stochastic shifts in the monetary policy regime. Agents cannot observe the regime and use a Bayesian learning rule to make optimal inferences. Price setting is adapted to this environment: lagged expectations about monetary policy influence the current inflation rate through an indexation rule. No structural inflation persistence is assumed. We show that this model can capture stylized facts about short-run inflation dynamics both in periods of transition and in stable environments. The role of expectations increases after regime shifts. This creates a link between the degree of inflation persistence and the stability and transparency of monetary policy. Thereby, our model can explain observed changes in inflation persistence.
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 684
- Klassifikation
-
Wirtschaft
Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data)
Price Level; Inflation; Deflation
Business Fluctuations; Cycles
- Thema
-
Bayesian learning
Inflation Dynamics
Inflation persistence
regime shifts
Geldpolitik
Geldpolitische Transmission
Inflationsbekämpfung
Erwartungsbildung
Theorie
EU-Staaten
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Lendvai, Julia
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2006
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Lendvai, Julia
- European Central Bank (ECB)
Entstanden
- 2006
Ähnliche Objekte (12)
Inflation Expectations and Regime Shifts
Forecasting inflation with gradual regime shifts and exogenous information
Inflation expectations and regime shifts in the euro area
Optimal Management with Potential Regime Shifts
Optimal management with potential regime shifts
Inflation dynamics under fiscal deficit regime switching in Mexico
Regime shifts and uncertainty in pollution control
Macroeconomic imbalances and exchange rate regime shifts
Time-consistent resource management with regime shifts
Economic regime shifts and the US subprime bubble
Inflation and monetary regimes
Unemployment and Inflation Regimes
Inflation Expectations and Regime Shifts
Forecasting inflation with gradual regime shifts and exogenous information
Inflation expectations and regime shifts in the euro area
Optimal Management with Potential Regime Shifts
Optimal management with potential regime shifts
Inflation dynamics under fiscal deficit regime switching in Mexico
Regime shifts and uncertainty in pollution control
Macroeconomic imbalances and exchange rate regime shifts
Time-consistent resource management with regime shifts
Economic regime shifts and the US subprime bubble
Inflation and monetary regimes
Unemployment and Inflation Regimes
Inflation Expectations and Regime Shifts
Forecasting inflation with gradual regime shifts and exogenous information
Inflation expectations and regime shifts in the euro area
Optimal Management with Potential Regime Shifts
Optimal management with potential regime shifts
Inflation dynamics under fiscal deficit regime switching in Mexico
Regime shifts and uncertainty in pollution control
Macroeconomic imbalances and exchange rate regime shifts
Time-consistent resource management with regime shifts
Economic regime shifts and the US subprime bubble
Inflation and monetary regimes