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Is it Time to Reassess the Focal Role of Core PCE Inflation in Assessing the Trend in PCE Inflation?
(Pontificia Universidad Católica del Perú, 2022-08-01)
“Core” PCE inflation—that is, inflation in PCE-ex-food-and-energy—is widely used as an estimate of trend inflation. But it is long overdue for replacement. The original rationale of core inflation was to remove volatile ...
Low Inflation Bends the Phillips Curve around the World
(Pontificia Universidad Católica del Perú, 2022-08-01)
This paper finds strong support for a Phillips curve that becomes nonlinear when inflation is “low”—which our baseline model defines as less than 3 percent. The nonlinear curve is steep when output is above potential (slack ...
Implications of Endogenous Money Growth for Some Tests of Superneutrality and the Fisher Effect
(Pontificia Universidad Católica del Perú, 2022-08-01)
Superneutrality of money and the Fisher Effect are well-known theoretical propositions. Empirical tests of long-run versions of these hypotheses have sometimes been done by estimating how a variable responds to a permanent ...
Flexible Average Inflation Targeting: How Much Is U.S. Monetary Policy Changing?
(Pontificia Universidad Católica del Perú, 2022-08-01)
One major outcome of the Federal Reserve’s 2019–20 framework review was the adoption of a Flexible Average Inflation Targeting (FAIT) strategy in August 2020. Using synthetic control methods, we document that U.S. inflation ...
Some Long-Run Correlations of Inflation in Developed Countries
(Pontificia Universidad Católica del Perú, 2022-08-01)
Using 100+ years of data from 18 developed countries, we use a frequency domain technique to compute “long-run” correlations between inflation on the one hand and money growth and nominal interest rates on the other. The ...
Presentation
(Pontificia Universidad Católica del Perú, 2022-08-01)
Searching for the Best Inflation Forecasters within an Employment Survey: Microdata Evidence from Chile
(Pontificia Universidad Católica del Perú, 2022-08-01)
This article aims to evaluate quantitative inflation forecasts for the Chilean economy, taking advantage of a specific survey of consumer perceptions at the individual microdata level, which, at the same time, is linked ...
A Power Booster Factor for Out-of-Sample Tests of Predictability
(Pontificia Universidad Católica del Perú, 2022-08-01)
In this paper we introduce a “power booster factor” for out-of-sample tests of predictability. The relevant econometric environment is one in which the econometrician wants to compare the population Mean Squared Prediction ...