Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/300443 
Year of Publication: 
2023
Series/Report no.: 
Working Paper No. 2023-04
Publisher: 
The University of Utah, Department of Economics, Salt Lake City, UT
Abstract: 
We propose an unobserved components model with stochastic volatility and structural shocks to explore the relevant factors that influence trend inflation in the USA. Using structural shocks that incorporate a broad set of information for the US economy, we find that four structural shocks have significant effects on trend inflation: productivity, price mark-up, government policy, and finance. During and in the aftermath of the Great Recession, trend inflation became more volatile after incorporating the structural shocks, implying that long-run inflation expectations tended to be less well-anchored in these periods.
Subjects: 
trend inflation
structural shocks
dynamics of inflation expectations
unobserved components
stochastic volatility
JEL: 
C11
C32
E31
E37
Document Type: 
Working Paper

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