Trend Inflation and the Nature of Structural Breaks in the New Keynesian Phillips Curve
研究发现当通胀存在单位根时，新凯恩斯菲利普斯曲线隐含一个包含随机趋势成分和通胀缺口的不可观测成分模型。实证表明，大通胀时期趋势通胀上升导致通胀对实际经济活动的响应减弱，通胀缺口持续性增强。
We show that with a unit root in inflation, the new Keynesian Phillips curve (NKPC) implies an unobserved components model with a stochastic trend component and an inflation gap. Our empirical results suggest that with an increase in trend inflation during the Great Inflation, the response of inflation to real economic activity decreases and the persistence of the inflation gap increases due to an increase in the persistence of the unobserved stationary component. These results are in line with the predictions of Cogley and Sbordone ( ), who show that the coefficients of the NKPC are functions of time‐varying trend inflation.