Common and Idiosyncratic Inflation
利用1959至2024年美国个人消费支出价格指数数据，通过两区制动态因子模型分离经济整体冲击与特质冲击，发现共同冲击在1990年代中期前和新冠疫情后主导通胀且影响持久，中间时期特质冲击主导且共同冲击影响短暂。
ABSTRACT 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.