Measuring the slowly evolving trend in US inflation with professional forecasts
结合专业预测者调查的预测与实际通胀数据，通过状态空间模型估计美国通胀的缓慢趋势和周期，发现趋势收敛至2%且波动性在1990年代末前下降。
Summary Much research studies US inflation history with a trend‐cycle model with unobserved components, where the trend may be viewed as the Fed's evolving inflation target or long‐horizon expected inflation. We provide a novel way to measure the slowly evolving trend and the cycle (or inflation gap), by combining inflation predictions from the Survey of Professional Forecasters (SPF) with realized inflation. The SPF forecasts may be treated either as rational expectations (RE) or updating according to a sticky information (SI) law of motion. We estimate RE and SI state‐space models with stochastic volatility on samples of consumer price index and gross national product/gross domestic product deflator inflation and the associated SPF inflation predictions using a particle Metropolis–Markov chain Monte Carlo sampler. The trend converges to 2% and its volatility declines over time—two tendencies largely complete by the late 1990s.