宽松和周期性敏感的通货膨胀

SLACK AND CYCLICALLY SENSITIVE INFLATION

作者：

詹姆斯·H·斯托克（James H. Stock）

马克·沃森（Mark W. Watson）

We investigate the flattening Phillips relation by making two departures from standardspecifications. First, we measure slack using real activity variables that are bandpass filtered oryear-over-year changes in activity (these are similar), instead of gaps. Second, we study thecomponents of inflation instead of the standard aggregates. We find that some inflationcomponents have strong and stable correlations with the cyclical component of real activity; thesecomponents tend to be relatively well-measured and domestically determined. Other components,typically prices that are poorly measured or internationally determined, have weak and/orunstable correlations with cyclical activity. We construct a new inflation index, CyclicallySensitive Inflation, that weights the components by their joint cyclical covariation with realactivity. The index has strong and stable correlations with cyclical activity and provides a realtime measure of cyclical movements in inflation.
我们通过偏离标准规范来研究扁平化的Phillips关系。首先，我们使用带通滤波的真实活动变量或活动的逐年变化（这些相似）而不是差距来测量松弛度。其次，我们研究通货膨胀的组成部分而不是标准总量。我们发现，某些通货膨胀成分与实际活动的周期性成分具有强而稳定的相关性。这些组成部分往往是相对衡量良好且在国内确定的。其他组成部分（通常是价格不佳衡量或国际确定的价格）与周期性活动之间的关联性较弱和/或不稳定。我们构建了一个新的通胀指数，即“周期性敏感通胀”，该指数通过其与实际活动的联合周期性协变来加权这些组件。