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Working Paper
Average Is Good Enough: Average-Inflation Targeting and the ELB
Leduc, Sylvain; Gnocchi, Stefano; Wagner, Joel; Amano, Robert (2020-06-24)
The Great Recession and current pandemic have focused attention on the constraint on nominal interest rates from the effective lower bound. This has renewed interest in monetary policies that embed makeup strategies, such as price-level or average-inflation targeting. This paper examines the properties of average-inflation targeting in a two-agent New Keynesian (TANK) model in which a fraction of firms have adaptive expectations. We examine the optimal degree of history dependence under average-inflation targeting and find it to be relatively short for business cycle shocks of standard ...
Working Paper Series , Paper 2020-21

Journal Article
The Case of the Reappearing Phillips Curve: A Discussion of Recent Findings
Bharadwaj, Asha; Dvorkin, Maximiliano (2020-07)
The Phillips curve seems to have flattened over time. In this article, we use a simple New Keynesian model to analyze potential pitfalls in the estimation of the slope of the structural Phillips curve.
Review , Volume 102 , Issue 3 , Pages 313-337

Journal Article
Is the Phillips Curve Still Alive?
Wen, Yi; Reinbold, Brian (2020-05)
A.W. Phillips's discovery that inflation is negatively correlated with unemployment served as a heuristic model for conducting monetary policy; but the flattening of the Phillips curve post-1970 has divided debate on this empirical relation into two camps: "The Phillips curve is alive and well," and "The Phillips curve is dead." However, this dichotomy oversimplifies the issue.
Review , Volume 102 , Issue 2 , Pages 121-144

Working Paper
Oil Prices, Gasoline Prices and Inflation Expectations: A New Model and New Facts
Kilian, Lutz; Zhou, Xiaoqing (2020-08-18)
The conventional wisdom that inflation expectations respond to the level of the price of oil (or the price of gasoline) is based on testing the null hypothesis of a zero slope coefficient in a static single-equation regression model fit to aggregate data. Given that the regressor in this model is not stationary, the null distribution of the t-test statistic is nonstandard, invalidating the use of the normal approximation. Once the critical values are adjusted, these regressions provide no support for the conventional wisdom. Using a new structural vector regression model, however, we ...
Working Papers , Paper 2025

Journal Article
Monetary Policy in an Oil-Exporting Economy
Hamann, Franz; Rodríguez, Diego; Bejarano, Jesús; Restrepo-Echavarria, Paulina (2016)
The sudden collapse of oil prices poses a challenge to inflation-targeting central banks in oil-exporting economies. In this article, the authors illustrate this challenge and conduct a quantitative assessment of the impact of changes in oil prices in a small open economy in which oil represents an important fraction of its exports. They build a monetary, three-sector, dynamic stochastic general equilibrium model and estimate it for the Colombian economy. They model the oil sector as an optimal resource extracting problem and show that in oil-exporting economies the macroeconomic effects vary ...
Review , Volume 98 , Issue 3 , Pages 239-61

Journal Article
The Response of U.S. Investment to Oil Price Shocks: Does the Shale Boom Matter?
Cakir Melek, Nida (2018)
After an unprecedented decline from 2014 to 2016, the real price of oil more than doubled, renewing interest in the effects of oil price fluctuations on the U.S. economy. The oil sector has become increasingly important to the U.S. economy over the past decade, and total U.S. business fixed investment appears to have followed oil investment?s pattern in recent years. This positive correlation between oil prices and U.S. investment growth may be related to the surge in U.S. oil production known as the shale boom. {{p}} Nida ak?r Melek explores the effect of unexpected oil price changes (or ...
Economic Review , Issue Q IV , Pages 39-61

Conference Paper
Inflation Dynamics and Monetary Policy : Economic Policy Symposium, Jackson Hole, Wyoming, August 27-29, 2015
Kansas City, Federal Reserve Bank (2015)
Proceedings - Economic Policy Symposium - Jackson Hole

Report
Sectoral inflation and the Phillips curve: what has changed since the Great Recession?
Luengo-Prado, Maria Jose; Rao, Nikhil; Sheremirov, Viacheslav (2017-11-01)
Using sectoral data at a medium level of aggregation, we find that price changes became less responsive to aggregate unemployment around 2009?2010. The slopes of the disaggregated Phillips curves diminished in many sectors, including housing and some services. We also document a decrease in sectoral inflation persistence, suggesting an increase in the weight of the forward-looking inflation expectation component and a decrease in the weight of the backward-looking component.
Current Policy Perspectives , Paper 17-5

Report
The effects of a stronger dollar on U.S. prices
Diez, Federico J.; Gopinath, Gita (2015-12-01)
Since 2014:Q3, the U.S. dollar has experienced the third-fastest appreciation in over 30 years, with its nominal exchange and real exchange rate rising 15 percent against almost all foreign currencies (as measured by the Major Currencies Dollar Index). This sudden and rapid gain has engendered concerns about how a stronger dollar will affect U.S. export and import prices and ultimately, consumer prices and inflation in the United States. This paper assembles a rich database, spanning the period from 1985:Q1 through 2014:Q4, that combines several measures of prices and exchange rates in order ...
Current Policy Perspectives , Paper 15-9

Report
The science of monetary policy: an imperfect knowledge perspective
Eusepi, Stefano; Preston, Bruce (2016-06-01)
New Keynesian theory identifies a set of principles central to the design and implementation of monetary policy. These principles rely on the ability of a central bank to manage expectations precisely, with policy prescriptions typically derived under the assumption of perfect information and full rationality. However, the challenging macroeconomic environment bequeathed by the financial crisis has led many to question the efficacy of monetary policy, and, particularly, to question whether central banks can influence expectations with as much control as previously thought. In this paper, we ...
Staff Reports , Paper 782

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