A. B. D enflasyon oynaklık dinamiklerinin zamanla değişen enflasyon trendi kullanılarak tahminlenmesi

We construct a New Keynesian Phillips Curve (NKPC) model with time varying trend inflation to analyze the dynamics between the US inflation level and volatility. The model involves a Calvo type pricing of firms where the firms that cannot optimize their prices fix their prices at the previous period's level. The extended model can generate much richer dynamics than the conventional NKPC without any trend inflation. Interestingly, the extended NKPC model indicates that the volatility of US inflation is driven mainly by the level of inflation and shocks to the long-run inflation expectations endogenously. We, further, estimate a simplified version of our NKPC model using US quarterly inflation and labor income share data over the period from 1960 until 2014 using Bayesian inference. The model involves time varying trend inflation (as well as time varying level of labor income share) together with stochastic volatility for inflation. In addition, we use survey based inflation expectations to replace the short-run inflation expectations relaxing the rational expectations assumption. In accordance with theoretical findings, empirical results verify that past volatility does not have a significant impact on the level, whereas the past level of inflation affects the volatility of the inflation.