Replication data for: Inflation-Gap Persistence in the US

Thomas J. Sargent, Timothy Cogley & Giorgio E. Primiceri
We estimate vector autoregressions with drifting coefficients and stochastic volatility to investigate whether US inflation persistence has changed. We focus on the inflation gap, defined as the difference between inflation and trend inflation, and we measure persistence in terms of short- to medium-term predictability. We present evidence that inflation-gap persistence increased during the Great Inflation and that it fell after the Volcker disinflation. We interpret these changes using a dynamic new Keynesian model that highlights...
This data repository is not currently reporting usage information. For information on how your repository can submit usage information, please see our documentation.