纽约联储-核心工资通货膨胀的一种衡量方法（英）-2023.7-44页_5mb

Summary of 'A Measure of Core Wage Inflation'

Introduction

The paper introduces a new measure, Core CPS Wage Inflation (CoWI), to isolate the persistent component of aggregate nominal wage inflation in the United States. It uses worker-level data from the Current Population Survey (CPS) combined with time-series smoothing methods and dynamic factor models with time-varying parameters. The goal is to provide a reliable indicator for monitoring wage inflation, distinct from raw measures that include short-term fluctuations.

Key Findings

• The persistent component of wage inflation, captured by CoWI, accounts for most of the business cycle fluctuations in nominal wage growth. This is driven primarily by a common factor across industries and workers.
• During inflationary periods, such as the post-pandemic surge, the common factor explains 75% to 90% of the increase in wage inflation.
• CoWI is validated through real-time forecast comparisons, outperforming a random walk benchmark in accuracy, especially at short horizons. It correlates strongly with changes in the unemployment rate, indicating its use in detecting turning points in wage inflation dynamics.
• The results are robust across different cross-sectional variables (e.g., industry, education, gender, age), showing that no specific subgroup of workers disproportionately drives the persistent component. The common factor dominates the evolution of CoWI in major macroeconomic episodes, including recessions and inflation surges, with higher importance during inflationary periods compared to recessionary times.

Methodology

CoWI is estimated using a dynamic factor model that decomposes nominal wage growth into persistent (common and sector-specific) and transitory components. The model incorporates:

• Worker-level CPS data with median-based wage growth calculations adjusted for temporal aggregation.
• Time-varying loadings and volatilities in factor models.
• Bayesian estimation techniques, including Gibbs sampling, to handle the state-space model and latent variables.

Cross-sectional heterogeneity is accounted for, with the model applied to diverse variables like industry, education, and demographic groups, ensuring the persistence measure is broadly applicable.

Conclusion

The paper establishes CoWI as a reliable measure for assessing persistent wage inflation, valuable for monetary policy and labor market analysis. The finding that wage inflation dynamics are largely driven by a common factor—especially in inflationary periods—highlights the importance of aggregate trends at the macroeconomic level, with micro-level heterogeneity playing a secondary role in shaping overall outcomes.