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Common and Idiosyncratic Inflation
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DOI：10.1002/jae.70023.png)
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Abstract
En 中文
We disentangle price changes due to economy-wide shocks from those driven by idiosyncratic shocks by estimating a two-regime dynamic factor model with dynamic loadings on a new large dataset of finely disaggregated monthly personal consumption expenditures price inflation indexes from 1959 through 2024. We find that up to the mid-1990s and after the COVID-19 pandemic, common shocks were the primary driver of US inflation dynamics and had long-lasting effects. In contrast, in the intermediate period, idiosyncratic shocks were the main driver, and common shocks had short-lived effects.
Keywords:
core inflation
disaggregated consumer prices
dynamic factor model
monetary policy
Journal
J
IF:
3.1
Papers:
48
Citations:
8.0K