Tracking Trend Inflation: Nonseasonally Adjusted Variants of the Median and Trimmed-Mean CPI

Verbrugge, Randal J.; Higgins, Amy

doi:10.26509/frbc-wp-201527

Cited by 4 publications

References 18 publications

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Quantile-Based Asymmetric Dynamics of Real GDP Growth

Liu

2019

Macroecon. Dynam.

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This paper studies asymmetric dynamics of real GDP growth by estimating linear and nonlinear quantile persistence over different parts of the conditional distribution for six major developed economies. Several novel quantile-based hypotheses are motivated in this paper and tested for the steepness asymmetry of real GDP growth that hypothesizes that contractions are steeper than expansions. The empirical results show that quantile persistence is generally high at far lower tails, thus requiring much longer half-lives to reverting negative deviations to the mean of real GDP growth and hence leading to gradual economic recoveries. By contrast, less persistence in far upper tails tends to generate sharp and short economic downturns that adjust positive deviations towards the mean of real GDP growth so as to cause abrupt economic recessions. In particular, this asymmetry in quantile persistence strongly supports the steepness asymmetry conjecture, robust to the presence of structural breaks and potential nonlinearities in real GDP growth.

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Quantile-Based Asymmetric Dynamics of Real GDP Growth

Liu

2019

Macroecon. Dynam.

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Adjusting Median and Trimmed-Mean Inflation Rates for Bias Based on Skewness

2022

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Median and trimmed-mean inflation rates tend to be useful estimates of trend inflation over long periods, but they can exhibit persistent departures from the underlying trend over shorter horizons. In this Commentary, we document that the extent of this bias is related to the degree of skewness in the distribution of price changes. The shift in the skewness of the cross-sectional price-change distribution during the pandemic means that median PCE and trimmed-mean PCE inflation rates have recently been understating the trend in PCE inflation by about 15 and 35 basis points, respectively.

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All Fluctuations Are Not Created Equal: The Differential Roles of Transitory versus Persistent Changes in Driving Historical Monetary Policy

Ashley¹,

Tsang²,

Verbrugge

2018

Working Paper (Federal Reserve Bank of Cleveland)

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The historical analysis of FOMC behavior using estimated simple policy rules requires the specifi cation of either an estimated natural rate of unemployment or an output gap. But in the 1970s, neither output gap nor natural rate estimates appear to guide FOMC deliberations. This paper uses the data to identify the particular implicit unemployment rate gap (if any) that is consistent with FOMC behavior. While its ability appears to have improved over time, our results indicate that, both before the Volcker period and through the Bernanke period, the FOMC distinguished persistent movements in the unemployment rate from other movements; implicitly such movements were treated as an intermediate target, one that departs substantially from conventional estimates of the natural rate. We further investigate historical FOMC responses to infl ation fl uctuations. In this regard, FOMC behavior changed in the Volcker-Greenspan-Bernanke period: its response to the infl ation rate became much stronger, and it focused more intensely on very persistent movements in this variable. Our results shed light on the "Great Infl ation" experience of the 1970s, and are consistent with the view that political pressures effectively limited the FOMC response to the buildup of infl ation. They also suggest new directions for DSGE modeling.

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Tracking Trend Inflation: Nonseasonally Adjusted Variants of the Median and Trimmed-Mean CPI

Cited by 4 publications

References 18 publications

Quantile-Based Asymmetric Dynamics of Real GDP Growth

Quantile-Based Asymmetric Dynamics of Real GDP Growth

Adjusting Median and Trimmed-Mean Inflation Rates for Bias Based on Skewness

All Fluctuations Are Not Created Equal: The Differential Roles of Transitory versus Persistent Changes in Driving Historical Monetary Policy

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