Accessible Version
Quantifying the COVID-19 effects on core PCE price inflation, Accessible Data
Figure 1: Common-COVID-Idiosyncratic decomposition of core PCE prices
Monthly percent change
| Date | Black line $$ \pi_t^c $$ |
Red line $$ \tilde {χ} _t^c $$ |
Orange line $$ \widehat {C19}_t^c $$ |
Blue line $$ \widehat {\xi_t^c} $$ |
|---|---|---|---|---|
| Jan-19 | 0.04 | 0.08 | 0 | -0.03 |
| Feb-19 | 0.04 | 0.14 | 0 | -0.10 |
| Mar-19 | 0.12 | 0.18 | 0 | -0.06 |
| Apr-19 | 0.29 | 0.16 | 0 | 0.13 |
| May-19 | 0.12 | 0.15 | 0 | -0.02 |
| Jun-19 | 0.22 | 0.13 | 0 | 0.09 |
| Jul-19 | 0.16 | 0.15 | 0 | 0.01 |
| Aug-19 | 0.14 | 0.13 | 0 | 0.01 |
| Sep-19 | 0.08 | 0.15 | 0 | -0.07 |
| Oct-19 | 0.13 | 0.14 | 0 | -0.01 |
| Nov-19 | 0.05 | 0.16 | 0 | -0.12 |
| Dec-19 | 0.22 | 0.18 | 0 | 0.04 |
| Jan-20 | 0.17 | 0.17 | 0 | 0.00 |
| Feb-20 | 0.15 | 0.15 | 0 | 0.00 |
| Mar-20 | -0.10 | 0.10 | -0.11 | -0.08 |
| Apr-20 | -0.43 | 0.06 | -0.34 | -0.16 |
| May-20 | 0.20 | 0.11 | -0.11 | 0.20 |
| Jun-20 | 0.35 | 0.14 | 0.18 | 0.02 |
| Jul-20 | 0.28 | 0.15 | 0.04 | 0.09 |
| Aug-20 | 0.31 | 0.16 | 0.06 | 0.08 |
| Sep-20 | 0.18 | 0.15 | 0.02 | 0.00 |
| Oct-20 | 0.02 | 0.12 | -0.08 | -0.02 |
| Nov-20 | 0.00 | 0.14 | 0.12 | -0.26 |
| Dec-20 | 0.31 | 0.17 | 0.01 | 0.12 |
Notes: the red line is the common core inflation, the orange line is the COVID component, while the blue line gives the idiosyncratic component. By construction, these three components sum to overall core PCE inflation (the black line).
Figure 2: Common-COVID-Idiosyncratic decomposition of core PCE prices
12-month percent change
| Date | Black line $$ \pi_t^c $$ |
Red line $$ \tilde {χ} _t^c $$ |
Green line $$ \tilde {χ} _t^c + \widehat {C19}_t^c $$ |
|---|---|---|---|
| Jan-19 | 1.85 | 1.67 | 1.67 |
| Feb-19 | 1.69 | 1.65 | 1.65 |
| Mar-19 | 1.58 | 1.70 | 1.70 |
| Apr-19 | 1.69 | 1.73 | 1.73 |
| May-19 | 1.60 | 1.72 | 1.72 |
| Jun-19 | 1.71 | 1.71 | 1.71 |
| Jul-19 | 1.74 | 1.72 | 1.72 |
| Aug-19 | 1.87 | 1.71 | 1.71 |
| Sep-19 | 1.72 | 1.71 | 1.71 |
| Oct-19 | 1.74 | 1.68 | 1.68 |
| Nov-19 | 1.58 | 1.72 | 1.72 |
| Dec-19 | 1.62 | 1.77 | 1.77 |
| Jan-20 | 1.75 | 1.87 | 1.87 |
| Feb-20 | 1.87 | 1.88 | 1.88 |
| Mar-20 | 1.65 | 1.80 | 1.68 |
| Apr-20 | 0.93 | 1.70 | 1.24 |
| May-20 | 1.01 | 1.66 | 1.09 |
| Jun-20 | 1.14 | 1.67 | 1.29 |
| Jul-20 | 1.26 | 1.67 | 1.33 |
| Aug-20 | 1.43 | 1.70 | 1.42 |
| Sep-20 | 1.53 | 1.71 | 1.45 |
| Oct-20 | 1.41 | 1.68 | 1.34 |
| Nov-20 | 1.37 | 1.65 | 1.44 |
| Dec-20 | 1.45 | 1.64 | 1.44 |
Notes: the red line is the common core inflation, the green line is the sum of the common core inflation and the COVID component, $$ χ ̃_t^c+(C19) ̂_t^c $$, and the black line is core PCE price inflation.
Figure 3a: Common core inflation including and excluding COVID
Left plot: monthly percent change
| Date | Red line $$ \tilde {χ}_t^c $$ |
Blue line $$ \hat {χ}_t^c $$ |
|---|---|---|
| Mar-95 | 0.14 | 0.14 |
| Apr-95 | 0.15 | 0.15 |
| May-95 | 0.16 | 0.14 |
| Jun-95 | 0.14 | 0.15 |
| Jul-95 | 0.15 | 0.15 |
| Aug-95 | 0.14 | 0.14 |
| Sep-95 | 0.14 | 0.16 |
| Oct-95 | 0.15 | 0.15 |
| Nov-95 | 0.14 | 0.13 |
| Dec-95 | 0.15 | 0.16 |
| Jan-96 | 0.17 | 0.17 |
| Feb-96 | 0.15 | 0.17 |
| Mar-96 | 0.15 | 0.17 |
| Apr-96 | 0.16 | 0.17 |
| May-96 | 0.15 | 0.13 |
| Jun-96 | 0.15 | 0.14 |
| Jul-96 | 0.14 | 0.12 |
| Aug-96 | 0.14 | 0.12 |
| Sep-96 | 0.16 | 0.17 |
| Oct-96 | 0.16 | 0.17 |
| Nov-96 | 0.16 | 0.16 |
| Dec-96 | 0.17 | 0.15 |
| Jan-97 | 0.15 | 0.16 |
| Feb-97 | 0.15 | 0.16 |
| Mar-97 | 0.14 | 0.13 |
| Apr-97 | 0.13 | 0.13 |
| May-97 | 0.13 | 0.14 |
| Jun-97 | 0.15 | 0.14 |
| Jul-97 | 0.14 | 0.13 |
| Aug-97 | 0.14 | 0.14 |
| Sep-97 | 0.16 | 0.16 |
| Oct-97 | 0.14 | 0.17 |
| Nov-97 | 0.14 | 0.14 |
| Dec-97 | 0.14 | 0.14 |
| Jan-98 | 0.13 | 0.13 |
| Feb-98 | 0.14 | 0.12 |
| Mar-98 | 0.14 | 0.14 |
| Apr-98 | 0.14 | 0.16 |
| May-98 | 0.15 | 0.15 |
| Jun-98 | 0.14 | 0.14 |
| Jul-98 | 0.15 | 0.19 |
| Aug-98 | 0.15 | 0.13 |
| Sep-98 | 0.12 | 0.11 |
| Oct-98 | 0.14 | 0.15 |
| Nov-98 | 0.14 | 0.14 |
| Dec-98 | 0.12 | 0.12 |
| Jan-99 | 0.14 | 0.12 |
| Feb-99 | 0.12 | 0.10 |
| Mar-99 | 0.12 | 0.15 |
| Apr-99 | 0.16 | 0.19 |
| May-99 | 0.14 | 0.12 |
| Jun-99 | 0.12 | 0.13 |
| Jul-99 | 0.15 | 0.17 |
| Aug-99 | 0.15 | 0.16 |
| Sep-99 | 0.16 | 0.20 |
| Oct-99 | 0.16 | 0.17 |
| Nov-99 | 0.14 | 0.14 |
| Dec-99 | 0.14 | 0.15 |
| Jan-00 | 0.18 | 0.21 |
| Feb-00 | 0.20 | 0.22 |
| Mar-00 | 0.17 | 0.17 |
| Apr-00 | 0.12 | 0.12 |
| May-00 | 0.14 | 0.13 |
| Jun-00 | 0.18 | 0.17 |
| Jul-00 | 0.16 | 0.13 |
| Aug-00 | 0.14 | 0.15 |
| Sep-00 | 0.17 | 0.21 |
| Oct-00 | 0.17 | 0.19 |
| Nov-00 | 0.15 | 0.15 |
| Dec-00 | 0.17 | 0.18 |
| Jan-01 | 0.20 | 0.22 |
| Feb-01 | 0.16 | 0.17 |
| Mar-01 | 0.14 | 0.12 |
| Apr-01 | 0.16 | 0.16 |
| May-01 | 0.18 | 0.19 |
| Jun-01 | 0.17 | 0.16 |
| Jul-01 | 0.14 | 0.12 |
| Aug-01 | 0.14 | 0.12 |
| Sep-01 | 0.16 | 0.13 |
| Oct-01 | 0.11 | 0.08 |
| Nov-01 | 0.10 | 0.11 |
| Dec-01 | 0.13 | 0.14 |
| Jan-02 | 0.13 | 0.13 |
| Feb-02 | 0.14 | 0.15 |
| Mar-02 | 0.15 | 0.15 |
| Apr-02 | 0.15 | 0.15 |
| May-02 | 0.14 | 0.16 |
| Jun-02 | 0.14 | 0.14 |
| Jul-02 | 0.15 | 0.16 |
| Aug-02 | 0.15 | 0.19 |
| Sep-02 | 0.14 | 0.13 |
| Oct-02 | 0.15 | 0.16 |
| Nov-02 | 0.16 | 0.16 |
| Dec-02 | 0.14 | 0.15 |
| Jan-03 | 0.17 | 0.18 |
| Feb-03 | 0.20 | 0.17 |
| Mar-03 | 0.16 | 0.14 |
| Apr-03 | 0.09 | 0.06 |
| May-03 | 0.10 | 0.09 |
| Jun-03 | 0.13 | 0.13 |
| Jul-03 | 0.14 | 0.18 |
| Aug-03 | 0.17 | 0.16 |
| Sep-03 | 0.15 | 0.15 |
| Oct-03 | 0.14 | 0.14 |
| Nov-03 | 0.15 | 0.15 |
| Dec-03 | 0.15 | 0.17 |
| Jan-04 | 0.18 | 0.19 |
| Feb-04 | 0.15 | 0.16 |
| Mar-04 | 0.13 | 0.15 |
| Apr-04 | 0.16 | 0.16 |
| May-04 | 0.17 | 0.16 |
| Jun-04 | 0.15 | 0.16 |
| Jul-04 | 0.13 | 0.13 |
| Aug-04 | 0.12 | 0.08 |
| Sep-04 | 0.15 | 0.16 |
| Oct-04 | 0.18 | 0.18 |
| Nov-04 | 0.17 | 0.17 |
| Dec-04 | 0.14 | 0.14 |
| Jan-05 | 0.15 | 0.17 |
| Feb-05 | 0.16 | 0.19 |
| Mar-05 | 0.15 | 0.16 |
| Apr-05 | 0.15 | 0.13 |
| May-05 | 0.13 | 0.12 |
| Jun-05 | 0.13 | 0.14 |
| Jul-05 | 0.16 | 0.17 |
| Aug-05 | 0.19 | 0.19 |
| Sep-05 | 0.23 | 0.22 |
| Oct-05 | 0.20 | 0.20 |
| Nov-05 | 0.12 | 0.12 |
| Dec-05 | 0.15 | 0.16 |
| Jan-06 | 0.17 | 0.17 |
| Feb-06 | 0.14 | 0.13 |
| Mar-06 | 0.15 | 0.16 |
| Apr-06 | 0.18 | 0.20 |
| May-06 | 0.17 | 0.18 |
| Jun-06 | 0.16 | 0.14 |
| Jul-06 | 0.17 | 0.17 |
| Aug-06 | 0.17 | 0.16 |
| Sep-06 | 0.12 | 0.11 |
| Oct-06 | 0.11 | 0.12 |
| Nov-06 | 0.14 | 0.15 |
| Dec-06 | 0.17 | 0.18 |
| Jan-07 | 0.17 | 0.19 |
| Feb-07 | 0.17 | 0.16 |
| Mar-07 | 0.17 | 0.15 |
| Apr-07 | 0.16 | 0.16 |
| May-07 | 0.16 | 0.15 |
| Jun-07 | 0.17 | 0.17 |
| Jul-07 | 0.17 | 0.20 |
| Aug-07 | 0.17 | 0.19 |
| Sep-07 | 0.18 | 0.17 |
| Oct-07 | 0.18 | 0.20 |
| Nov-07 | 0.21 | 0.25 |
| Dec-07 | 0.19 | 0.21 |
| Jan-08 | 0.18 | 0.18 |
| Feb-08 | 0.20 | 0.18 |
| Mar-08 | 0.19 | 0.19 |
| Apr-08 | 0.19 | 0.16 |
| May-08 | 0.23 | 0.23 |
| Jun-08 | 0.25 | 0.26 |
| Jul-08 | 0.22 | 0.17 |
| Aug-08 | 0.16 | 0.13 |
| Sep-08 | 0.15 | 0.10 |
| Oct-08 | 0.07 | -0.02 |
| Nov-08 | 0.02 | -0.02 |
| Dec-08 | 0.06 | 0.02 |
| Jan-09 | 0.10 | 0.06 |
| Feb-09 | 0.10 | 0.09 |
| Mar-09 | 0.08 | 0.09 |
| Apr-09 | 0.09 | 0.09 |
| May-09 | 0.11 | 0.11 |
| Jun-09 | 0.15 | 0.15 |
| Jul-09 | 0.12 | 0.12 |
| Aug-09 | 0.13 | 0.14 |
| Sep-09 | 0.12 | 0.17 |
| Oct-09 | 0.16 | 0.18 |
| Nov-09 | 0.15 | 0.15 |
| Dec-09 | 0.14 | 0.14 |
| Jan-10 | 0.15 | 0.14 |
| Feb-10 | 0.13 | 0.14 |
| Mar-10 | 0.13 | 0.13 |
| Apr-10 | 0.13 | 0.13 |
| May-10 | 0.13 | 0.12 |
| Jun-10 | 0.11 | 0.09 |
| Jul-10 | 0.11 | 0.10 |
| Aug-10 | 0.13 | 0.13 |
| Sep-10 | 0.13 | 0.14 |
| Oct-10 | 0.16 | 0.19 |
| Nov-10 | 0.15 | 0.16 |
| Dec-10 | 0.15 | 0.15 |
| Jan-11 | 0.18 | 0.18 |
| Feb-11 | 0.17 | 0.16 |
| Mar-11 | 0.17 | 0.18 |
| Apr-11 | 0.19 | 0.16 |
| May-11 | 0.16 | 0.15 |
| Jun-11 | 0.14 | 0.16 |
| Jul-11 | 0.14 | 0.13 |
| Aug-11 | 0.15 | 0.11 |
| Sep-11 | 0.13 | 0.10 |
| Oct-11 | 0.10 | 0.08 |
| Nov-11 | 0.13 | 0.13 |
| Dec-11 | 0.13 | 0.10 |
| Jan-12 | 0.14 | 0.14 |
| Feb-12 | 0.14 | 0.13 |
| Mar-12 | 0.13 | 0.13 |
| Apr-12 | 0.14 | 0.17 |
| May-12 | 0.12 | 0.10 |
| Jun-12 | 0.09 | 0.10 |
| Jul-12 | 0.12 | 0.12 |
| Aug-12 | 0.15 | 0.14 |
| Sep-12 | 0.15 | 0.16 |
| Oct-12 | 0.16 | 0.16 |
| Nov-12 | 0.12 | 0.11 |
| Dec-12 | 0.12 | 0.13 |
| Jan-13 | 0.14 | 0.14 |
| Feb-13 | 0.14 | 0.13 |
| Mar-13 | 0.11 | 0.10 |
| Apr-13 | 0.12 | 0.11 |
| May-13 | 0.13 | 0.14 |
| Jun-13 | 0.13 | 0.12 |
| Jul-13 | 0.12 | 0.12 |
| Aug-13 | 0.14 | 0.13 |
| Sep-13 | 0.12 | 0.12 |
| Oct-13 | 0.14 | 0.14 |
| Nov-13 | 0.14 | 0.16 |
| Dec-13 | 0.14 | 0.14 |
| Jan-14 | 0.17 | 0.15 |
| Feb-14 | 0.15 | 0.15 |
| Mar-14 | 0.14 | 0.14 |
| Apr-14 | 0.14 | 0.15 |
| May-14 | 0.14 | 0.12 |
| Jun-14 | 0.14 | 0.13 |
| Jul-14 | 0.15 | 0.14 |
| Aug-14 | 0.14 | 0.13 |
| Sep-14 | 0.13 | 0.14 |
| Oct-14 | 0.12 | 0.12 |
| Nov-14 | 0.12 | 0.12 |
| Dec-14 | 0.10 | 0.09 |
| Jan-15 | 0.09 | 0.08 |
| Feb-15 | 0.13 | 0.13 |
| Mar-15 | 0.15 | 0.18 |
| Apr-15 | 0.13 | 0.13 |
| May-15 | 0.15 | 0.15 |
| Jun-15 | 0.15 | 0.15 |
| Jul-15 | 0.14 | 0.15 |
| Aug-15 | 0.13 | 0.15 |
| Sep-15 | 0.10 | 0.07 |
| Oct-15 | 0.10 | 0.07 |
| Nov-15 | 0.13 | 0.15 |
| Dec-15 | 0.11 | 0.12 |
| Jan-16 | 0.12 | 0.12 |
| Feb-16 | 0.10 | 0.10 |
| Mar-16 | 0.11 | 0.10 |
| Apr-16 | 0.15 | 0.16 |
| May-16 | 0.15 | 0.18 |
| Jun-16 | 0.14 | 0.13 |
| Jul-16 | 0.13 | 0.14 |
| Aug-16 | 0.14 | 0.13 |
| Sep-16 | 0.13 | 0.13 |
| Oct-16 | 0.15 | 0.16 |
| Nov-16 | 0.13 | 0.13 |
| Dec-16 | 0.14 | 0.14 |
| Jan-17 | 0.17 | 0.15 |
| Feb-17 | 0.12 | 0.11 |
| Mar-17 | 0.11 | 0.10 |
| Apr-17 | 0.14 | 0.13 |
| May-17 | 0.12 | 0.13 |
| Jun-17 | 0.13 | 0.12 |
| Jul-17 | 0.12 | 0.11 |
| Aug-17 | 0.15 | 0.15 |
| Sep-17 | 0.15 | 0.15 |
| Oct-17 | 0.15 | 0.16 |
| Nov-17 | 0.15 | 0.15 |
| Dec-17 | 0.15 | 0.14 |
| Jan-18 | 0.18 | 0.19 |
| Feb-18 | 0.17 | 0.19 |
| Mar-18 | 0.13 | 0.14 |
| Apr-18 | 0.13 | 0.14 |
| May-18 | 0.15 | 0.13 |
| Jun-18 | 0.14 | 0.13 |
| Jul-18 | 0.14 | 0.14 |
| Aug-18 | 0.15 | 0.12 |
| Sep-18 | 0.15 | 0.17 |
| Oct-18 | 0.16 | 0.16 |
| Nov-18 | 0.13 | 0.11 |
| Dec-18 | 0.13 | 0.11 |
| Jan-19 | 0.08 | 0.11 |
| Feb-19 | 0.14 | 0.09 |
| Mar-19 | 0.18 | 0.13 |
| Apr-19 | 0.16 | 0.22 |
| May-19 | 0.15 | 0.17 |
| Jun-19 | 0.13 | 0.14 |
| Jul-19 | 0.15 | 0.14 |
| Aug-19 | 0.13 | 0.16 |
| Sep-19 | 0.15 | 0.15 |
| Oct-19 | 0.14 | 0.12 |
| Nov-19 | 0.16 | 0.18 |
| Dec-19 | 0.18 | 0.20 |
| Jan-20 | 0.17 | 0.24 |
| Feb-20 | 0.15 | 0.17 |
| Mar-20 | 0.10 | -0.01 |
| Apr-20 | 0.06 | -0.28 |
| May-20 | 0.11 | 0.00 |
| Jun-20 | 0.14 | 0.33 |
| Jul-20 | 0.15 | 0.19 |
| Aug-20 | 0.16 | 0.23 |
| Sep-20 | 0.15 | 0.17 |
| Oct-20 | 0.12 | 0.03 |
| Nov-20 | 0.14 | 0.26 |
| Dec-20 | 0.17 | 0.18 |
Notes: $$ χ ̂_t^c $$ is the estimate of common core inflation that contains both the standard comovement as well as the additional/unusual comovement induced by COVID, whereas $$ χ ̃_t^cdoes $$ not contain COVID.
Figure 3b: Common core inflation including and excluding COVID
Right plot: 12-month percent change
| Date | Red line $$ \tilde {χ}_t^c $$ |
Blue line $$ \hat {χ}_t^c $$ |
|---|---|---|
| Feb-96 | 1.80 | 1.83 |
| Mar-96 | 1.81 | 1.85 |
| Apr-96 | 1.82 | 1.87 |
| May-96 | 1.81 | 1.87 |
| Jun-96 | 1.82 | 1.85 |
| Jul-96 | 1.81 | 1.82 |
| Aug-96 | 1.81 | 1.80 |
| Sep-96 | 1.83 | 1.81 |
| Oct-96 | 1.84 | 1.84 |
| Nov-96 | 1.86 | 1.87 |
| Dec-96 | 1.88 | 1.86 |
| Jan-97 | 1.86 | 1.85 |
| Feb-97 | 1.86 | 1.84 |
| Mar-97 | 1.85 | 1.80 |
| Apr-97 | 1.81 | 1.75 |
| May-97 | 1.78 | 1.76 |
| Jun-97 | 1.78 | 1.76 |
| Jul-97 | 1.78 | 1.77 |
| Aug-97 | 1.78 | 1.80 |
| Sep-97 | 1.78 | 1.79 |
| Oct-97 | 1.76 | 1.78 |
| Nov-97 | 1.74 | 1.76 |
| Dec-97 | 1.72 | 1.76 |
| Jan-98 | 1.70 | 1.73 |
| Feb-98 | 1.69 | 1.69 |
| Mar-98 | 1.69 | 1.69 |
| Apr-98 | 1.71 | 1.73 |
| May-98 | 1.73 | 1.74 |
| Jun-98 | 1.72 | 1.74 |
| Jul-98 | 1.74 | 1.80 |
| Aug-98 | 1.74 | 1.79 |
| Sep-98 | 1.71 | 1.74 |
| Oct-98 | 1.70 | 1.72 |
| Nov-98 | 1.70 | 1.73 |
| Dec-98 | 1.68 | 1.70 |
| Jan-99 | 1.68 | 1.70 |
| Feb-99 | 1.67 | 1.68 |
| Mar-99 | 1.65 | 1.69 |
| Apr-99 | 1.68 | 1.72 |
| May-99 | 1.67 | 1.70 |
| Jun-99 | 1.65 | 1.69 |
| Jul-99 | 1.65 | 1.67 |
| Aug-99 | 1.65 | 1.69 |
| Sep-99 | 1.68 | 1.77 |
| Oct-99 | 1.70 | 1.79 |
| Nov-99 | 1.70 | 1.79 |
| Dec-99 | 1.72 | 1.81 |
| Jan-00 | 1.76 | 1.90 |
| Feb-00 | 1.85 | 2.02 |
| Mar-00 | 1.89 | 2.04 |
| Apr-00 | 1.85 | 1.96 |
| May-00 | 1.84 | 1.97 |
| Jun-00 | 1.91 | 2.00 |
| Jul-00 | 1.92 | 1.96 |
| Aug-00 | 1.91 | 1.96 |
| Sep-00 | 1.92 | 1.97 |
| Oct-00 | 1.94 | 1.99 |
| Nov-00 | 1.95 | 2.01 |
| Dec-00 | 1.99 | 2.04 |
| Jan-01 | 2.00 | 2.05 |
| Feb-01 | 1.96 | 2.01 |
| Mar-01 | 1.93 | 1.96 |
| Apr-01 | 1.97 | 2.01 |
| May-01 | 2.02 | 2.07 |
| Jun-01 | 2.00 | 2.06 |
| Jul-01 | 1.98 | 2.05 |
| Aug-01 | 1.98 | 2.02 |
| Sep-01 | 1.96 | 1.94 |
| Oct-01 | 1.89 | 1.84 |
| Nov-01 | 1.85 | 1.79 |
| Dec-01 | 1.80 | 1.75 |
| Jan-02 | 1.74 | 1.66 |
| Feb-02 | 1.71 | 1.64 |
| Mar-02 | 1.73 | 1.67 |
| Apr-02 | 1.72 | 1.66 |
| May-02 | 1.67 | 1.64 |
| Jun-02 | 1.65 | 1.61 |
| Jul-02 | 1.66 | 1.65 |
| Aug-02 | 1.67 | 1.72 |
| Sep-02 | 1.65 | 1.72 |
| Oct-02 | 1.70 | 1.80 |
| Nov-02 | 1.75 | 1.85 |
| Dec-02 | 1.76 | 1.85 |
| Jan-03 | 1.80 | 1.91 |
| Feb-03 | 1.86 | 1.93 |
| Mar-03 | 1.87 | 1.91 |
| Apr-03 | 1.80 | 1.82 |
| May-03 | 1.76 | 1.74 |
| Jun-03 | 1.75 | 1.73 |
| Jul-03 | 1.74 | 1.75 |
| Aug-03 | 1.76 | 1.73 |
| Sep-03 | 1.76 | 1.75 |
| Oct-03 | 1.75 | 1.73 |
| Nov-03 | 1.75 | 1.72 |
| Dec-03 | 1.76 | 1.74 |
| Jan-04 | 1.77 | 1.75 |
| Feb-04 | 1.72 | 1.74 |
| Mar-04 | 1.69 | 1.75 |
| Apr-04 | 1.76 | 1.85 |
| May-04 | 1.83 | 1.92 |
| Jun-04 | 1.85 | 1.96 |
| Jul-04 | 1.85 | 1.90 |
| Aug-04 | 1.80 | 1.82 |
| Sep-04 | 1.79 | 1.83 |
| Oct-04 | 1.84 | 1.87 |
| Nov-04 | 1.86 | 1.89 |
| Dec-04 | 1.85 | 1.87 |
| Jan-05 | 1.83 | 1.85 |
| Feb-05 | 1.84 | 1.88 |
| Mar-05 | 1.86 | 1.89 |
| Apr-05 | 1.85 | 1.86 |
| May-05 | 1.81 | 1.82 |
| Jun-05 | 1.79 | 1.79 |
| Jul-05 | 1.82 | 1.84 |
| Aug-05 | 1.89 | 1.95 |
| Sep-05 | 1.97 | 2.02 |
| Oct-05 | 1.98 | 2.04 |
| Nov-05 | 1.93 | 1.98 |
| Dec-05 | 1.93 | 2.00 |
| Jan-06 | 1.95 | 2.00 |
| Feb-06 | 1.93 | 1.93 |
| Mar-06 | 1.92 | 1.93 |
| Apr-06 | 1.94 | 2.01 |
| May-06 | 1.99 | 2.07 |
| Jun-06 | 2.02 | 2.07 |
| Jul-06 | 2.03 | 2.06 |
| Aug-06 | 2.01 | 2.03 |
| Sep-06 | 1.90 | 1.91 |
| Oct-06 | 1.82 | 1.83 |
| Nov-06 | 1.84 | 1.86 |
| Dec-06 | 1.86 | 1.88 |
| Jan-07 | 1.86 | 1.91 |
| Feb-07 | 1.89 | 1.94 |
| Mar-07 | 1.92 | 1.93 |
| Apr-07 | 1.90 | 1.89 |
| May-07 | 1.89 | 1.86 |
| Jun-07 | 1.90 | 1.88 |
| Jul-07 | 1.90 | 1.92 |
| Aug-07 | 1.91 | 1.94 |
| Sep-07 | 1.97 | 2.01 |
| Oct-07 | 2.04 | 2.10 |
| Nov-07 | 2.12 | 2.19 |
| Dec-07 | 2.14 | 2.22 |
| Jan-08 | 2.15 | 2.21 |
| Feb-08 | 2.17 | 2.23 |
| Mar-08 | 2.19 | 2.27 |
| Apr-08 | 2.22 | 2.27 |
| May-08 | 2.29 | 2.35 |
| Jun-08 | 2.38 | 2.45 |
| Jul-08 | 2.43 | 2.42 |
| Aug-08 | 2.42 | 2.36 |
| Sep-08 | 2.39 | 2.28 |
| Oct-08 | 2.28 | 2.05 |
| Nov-08 | 2.08 | 1.78 |
| Dec-08 | 1.94 | 1.58 |
| Jan-09 | 1.86 | 1.47 |
| Feb-09 | 1.76 | 1.37 |
| Mar-09 | 1.65 | 1.27 |
| Apr-09 | 1.54 | 1.19 |
| May-09 | 1.43 | 1.07 |
| Jun-09 | 1.32 | 0.96 |
| Jul-09 | 1.22 | 0.91 |
| Aug-09 | 1.19 | 0.92 |
| Sep-09 | 1.16 | 1.00 |
| Oct-09 | 1.26 | 1.21 |
| Nov-09 | 1.39 | 1.38 |
| Dec-09 | 1.47 | 1.51 |
| Jan-10 | 1.52 | 1.58 |
| Feb-10 | 1.55 | 1.63 |
| Mar-10 | 1.60 | 1.68 |
| Apr-10 | 1.65 | 1.72 |
| May-10 | 1.66 | 1.74 |
| Jun-10 | 1.63 | 1.68 |
| Jul-10 | 1.62 | 1.65 |
| Aug-10 | 1.61 | 1.64 |
| Sep-10 | 1.62 | 1.60 |
| Oct-10 | 1.62 | 1.61 |
| Nov-10 | 1.62 | 1.63 |
| Dec-10 | 1.63 | 1.64 |
| Jan-11 | 1.65 | 1.68 |
| Feb-11 | 1.70 | 1.71 |
| Mar-11 | 1.73 | 1.76 |
| Apr-11 | 1.79 | 1.79 |
| May-11 | 1.82 | 1.81 |
| Jun-11 | 1.85 | 1.88 |
| Jul-11 | 1.88 | 1.91 |
| Aug-11 | 1.89 | 1.89 |
| Sep-11 | 1.90 | 1.86 |
| Oct-11 | 1.83 | 1.74 |
| Nov-11 | 1.81 | 1.70 |
| Dec-11 | 1.80 | 1.66 |
| Jan-12 | 1.76 | 1.61 |
| Feb-12 | 1.72 | 1.58 |
| Mar-12 | 1.68 | 1.54 |
| Apr-12 | 1.64 | 1.54 |
| May-12 | 1.60 | 1.49 |
| Jun-12 | 1.55 | 1.43 |
| Jul-12 | 1.53 | 1.42 |
| Aug-12 | 1.53 | 1.46 |
| Sep-12 | 1.55 | 1.52 |
| Oct-12 | 1.60 | 1.60 |
| Nov-12 | 1.60 | 1.58 |
| Dec-12 | 1.58 | 1.61 |
| Jan-13 | 1.58 | 1.62 |
| Feb-13 | 1.59 | 1.62 |
| Mar-13 | 1.57 | 1.58 |
| Apr-13 | 1.54 | 1.52 |
| May-13 | 1.56 | 1.56 |
| Jun-13 | 1.59 | 1.59 |
| Jul-13 | 1.59 | 1.58 |
| Aug-13 | 1.58 | 1.56 |
| Sep-13 | 1.55 | 1.52 |
| Oct-13 | 1.53 | 1.50 |
| Nov-13 | 1.55 | 1.55 |
| Dec-13 | 1.57 | 1.56 |
| Jan-14 | 1.61 | 1.57 |
| Feb-14 | 1.62 | 1.59 |
| Mar-14 | 1.65 | 1.63 |
| Apr-14 | 1.67 | 1.67 |
| May-14 | 1.68 | 1.65 |
| Jun-14 | 1.69 | 1.65 |
| Jul-14 | 1.72 | 1.68 |
| Aug-14 | 1.72 | 1.68 |
| Sep-14 | 1.74 | 1.70 |
| Oct-14 | 1.72 | 1.68 |
| Nov-14 | 1.70 | 1.63 |
| Dec-14 | 1.66 | 1.58 |
| Jan-15 | 1.58 | 1.51 |
| Feb-15 | 1.56 | 1.50 |
| Mar-15 | 1.57 | 1.54 |
| Apr-15 | 1.56 | 1.52 |
| May-15 | 1.57 | 1.56 |
| Jun-15 | 1.58 | 1.58 |
| Jul-15 | 1.58 | 1.58 |
| Aug-15 | 1.57 | 1.60 |
| Sep-15 | 1.54 | 1.53 |
| Oct-15 | 1.51 | 1.48 |
| Nov-15 | 1.52 | 1.51 |
| Dec-15 | 1.53 | 1.53 |
| Jan-16 | 1.56 | 1.57 |
| Feb-16 | 1.53 | 1.54 |
| Mar-16 | 1.49 | 1.46 |
| Apr-16 | 1.51 | 1.49 |
| May-16 | 1.51 | 1.52 |
| Jun-16 | 1.49 | 1.50 |
| Jul-16 | 1.48 | 1.50 |
| Aug-16 | 1.49 | 1.48 |
| Sep-16 | 1.51 | 1.54 |
| Oct-16 | 1.57 | 1.63 |
| Nov-16 | 1.57 | 1.62 |
| Dec-16 | 1.59 | 1.64 |
| Jan-17 | 1.64 | 1.67 |
| Feb-17 | 1.67 | 1.68 |
| Mar-17 | 1.66 | 1.68 |
| Apr-17 | 1.65 | 1.64 |
| May-17 | 1.62 | 1.59 |
| Jun-17 | 1.61 | 1.57 |
| Jul-17 | 1.59 | 1.54 |
| Aug-17 | 1.60 | 1.56 |
| Sep-17 | 1.63 | 1.59 |
| Oct-17 | 1.63 | 1.59 |
| Nov-17 | 1.65 | 1.61 |
| Dec-17 | 1.66 | 1.61 |
| Jan-18 | 1.67 | 1.64 |
| Feb-18 | 1.71 | 1.72 |
| Mar-18 | 1.74 | 1.76 |
| Apr-18 | 1.73 | 1.78 |
| May-18 | 1.77 | 1.78 |
| Jun-18 | 1.79 | 1.79 |
| Jul-18 | 1.81 | 1.82 |
| Aug-18 | 1.81 | 1.79 |
| Sep-18 | 1.81 | 1.80 |
| Oct-18 | 1.82 | 1.80 |
| Nov-18 | 1.79 | 1.76 |
| Dec-18 | 1.78 | 1.73 |
| Jan-19 | 1.67 | 1.66 |
| Feb-19 | 1.65 | 1.56 |
| Mar-19 | 1.70 | 1.55 |
| Apr-19 | 1.73 | 1.63 |
| May-19 | 1.72 | 1.67 |
| Jun-19 | 1.71 | 1.69 |
| Jul-19 | 1.72 | 1.69 |
| Aug-19 | 1.71 | 1.73 |
| Sep-19 | 1.71 | 1.71 |
| Oct-19 | 1.68 | 1.67 |
| Nov-19 | 1.72 | 1.74 |
| Dec-19 | 1.77 | 1.83 |
| Jan-20 | 1.87 | 1.96 |
| Feb-20 | 1.88 | 2.04 |
| Mar-20 | 1.80 | 1.89 |
| Apr-20 | 1.70 | 1.38 |
| May-20 | 1.66 | 1.21 |
| Jun-20 | 1.67 | 1.40 |
| Jul-20 | 1.67 | 1.46 |
| Aug-20 | 1.70 | 1.53 |
| Sep-20 | 1.71 | 1.55 |
| Oct-20 | 1.68 | 1.47 |
| Nov-20 | 1.65 | 1.55 |
| Dec-20 | 1.64 | 1.53 |
Notes: $$ χ ̂_t^c $$ is the estimate of common core inflation that contains both the standard comovement as well as the additional/unusual comovement induced by COVID, whereas $$ χ ̃_t^c $$ does not contain COVID.
Figure 4: Correlation between factor loadings estimated on different samples
| Date | Blue line $$ \lambda_0 $$ |
Red line $$ \lambda_1 $$ |
Green line $$ \lambda_2 $$ |
|---|---|---|---|
| Jan-10 | 1.000 | 0.999 | 1.000 |
| Feb-10 | 0.996 | 0.992 | 0.997 |
| Mar-10 | 0.999 | 0.998 | 0.999 |
| Apr-10 | 1.000 | 1.000 | 1.000 |
| May-10 | 1.000 | 1.000 | 1.000 |
| Jun-10 | 0.998 | 0.998 | 1.000 |
| Jul-10 | 0.999 | 0.997 | 0.999 |
| Aug-10 | 0.999 | 0.998 | 0.998 |
| Sep-10 | 0.999 | 0.998 | 0.999 |
| Oct-10 | 0.998 | 0.994 | 0.996 |
| Nov-10 | 0.999 | 0.994 | 0.996 |
| Dec-10 | 0.999 | 0.998 | 0.999 |
| Jan-11 | 0.998 | 0.998 | 0.999 |
| Feb-11 | 1.000 | 0.997 | 0.998 |
| Mar-11 | 0.998 | 0.998 | 1.000 |
| Apr-11 | 1.000 | 0.999 | 0.998 |
| May-11 | 0.999 | 0.995 | 0.996 |
| Jun-11 | 1.000 | 1.000 | 0.999 |
| Jul-11 | 0.999 | 0.998 | 1.000 |
| Aug-11 | 0.999 | 0.999 | 0.999 |
| Sep-11 | 0.997 | 0.992 | 0.997 |
| Oct-11 | 0.985 | 0.977 | 0.990 |
| Nov-11 | 0.998 | 0.993 | 0.998 |
| Dec-11 | 0.999 | 0.997 | 0.999 |
| Jan-12 | 0.998 | 0.996 | 0.999 |
| Feb-12 | 0.999 | 0.996 | 0.998 |
| Mar-12 | 0.999 | 0.999 | 0.998 |
| Apr-12 | 0.998 | 0.996 | 0.999 |
| May-12 | 0.972 | 0.949 | 0.981 |
| Jun-12 | 1.000 | 0.997 | 0.997 |
| Jul-12 | 0.908 | 0.812 | 0.917 |
| Aug-12 | 0.999 | 0.997 | 0.998 |
| Sep-12 | 1.000 | 1.000 | 0.999 |
| Oct-12 | 0.949 | 0.887 | 0.955 |
| Nov-12 | 0.998 | 0.995 | 0.998 |
| Dec-12 | 0.996 | 0.988 | 0.993 |
| Jan-13 | 0.996 | 0.992 | 0.997 |
| Feb-13 | 0.998 | 0.995 | 0.994 |
| Mar-13 | 0.952 | 0.883 | 0.955 |
| Apr-13 | 0.982 | 0.955 | 0.979 |
| May-13 | 0.999 | 0.998 | 1.000 |
| Jun-13 | 0.999 | 0.997 | 0.999 |
| Jul-13 | 0.999 | 0.999 | 1.000 |
| Aug-13 | 0.998 | 0.994 | 0.998 |
| Sep-13 | 0.997 | 0.994 | 0.998 |
| Oct-13 | 0.997 | 0.990 | 0.998 |
| Nov-13 | 0.999 | 0.997 | 0.998 |
| Dec-13 | 1.000 | 1.000 | 1.000 |
| Jan-14 | 0.995 | 0.985 | 0.994 |
| Feb-14 | 0.998 | 0.994 | 0.998 |
| Mar-14 | 0.999 | 0.998 | 0.999 |
| Apr-14 | 0.998 | 0.996 | 0.998 |
| May-14 | 0.999 | 0.998 | 0.999 |
| Jun-14 | 1.000 | 0.999 | 1.000 |
| Jul-14 | 1.000 | 0.999 | 1.000 |
| Aug-14 | 0.996 | 0.989 | 0.997 |
| Sep-14 | 0.999 | 0.998 | 0.999 |
| Oct-14 | 0.999 | 0.999 | 1.000 |
| Nov-14 | 0.999 | 0.999 | 0.998 |
| Dec-14 | 0.998 | 0.997 | 0.999 |
| Jan-15 | 0.998 | 0.990 | 0.993 |
| Feb-15 | 0.999 | 0.999 | 1.000 |
| Mar-15 | 1.000 | 0.999 | 1.000 |
| Apr-15 | 0.999 | 0.998 | 0.999 |
| May-15 | 1.000 | 0.999 | 1.000 |
| Jun-15 | 0.999 | 0.998 | 1.000 |
| Jul-15 | 0.999 | 0.996 | 0.999 |
| Aug-15 | 1.000 | 0.999 | 1.000 |
| Sep-15 | 0.992 | 0.989 | 0.998 |
| Oct-15 | 0.996 | 0.997 | 0.995 |
| Nov-15 | 0.999 | 0.990 | 0.996 |
| Dec-15 | 0.994 | 0.980 | 0.990 |
| Jan-16 | 0.999 | 0.991 | 0.997 |
| Feb-16 | 0.996 | 0.988 | 0.995 |
| Mar-16 | 1.000 | 0.996 | 0.998 |
| Apr-16 | 0.999 | 0.997 | 1.000 |
| May-16 | 0.999 | 0.994 | 0.995 |
| Jun-16 | 1.000 | 0.999 | 1.000 |
| Jul-16 | 1.000 | 1.000 | 1.000 |
| Aug-16 | 1.000 | 1.000 | 1.000 |
| Sep-16 | 0.999 | 0.998 | 0.999 |
| Oct-16 | 0.999 | 0.996 | 0.999 |
| Nov-16 | 0.997 | 0.990 | 0.996 |
| Dec-16 | 1.000 | 0.997 | 0.999 |
| Jan-17 | 0.998 | 0.998 | 0.999 |
| Feb-17 | 0.998 | 0.993 | 0.994 |
| Mar-17 | 0.998 | 0.998 | 0.997 |
| Apr-17 | 0.999 | 0.997 | 0.999 |
| May-17 | 0.999 | 0.998 | 0.999 |
| Jun-17 | 1.000 | 0.997 | 0.999 |
| Jul-17 | 0.997 | 0.993 | 0.998 |
| Aug-17 | 0.998 | 0.994 | 0.999 |
| Sep-17 | 1.000 | 0.999 | 0.998 |
| Oct-17 | 0.999 | 0.998 | 0.999 |
| Nov-17 | 0.999 | 0.999 | 0.999 |
| Dec-17 | 1.000 | 1.000 | 1.000 |
| Jan-18 | 0.997 | 0.995 | 0.999 |
| Feb-18 | 0.999 | 0.989 | 0.990 |
| Mar-18 | 1.000 | 1.000 | 1.000 |
| Apr-18 | 1.000 | 1.000 | 1.000 |
| May-18 | 1.000 | 0.999 | 1.000 |
| Jun-18 | 1.000 | 0.999 | 0.999 |
| Jul-18 | 1.000 | 0.999 | 0.999 |
| Aug-18 | 1.000 | 0.999 | 1.000 |
| Sep-18 | 1.000 | 0.999 | 1.000 |
| Oct-18 | 0.999 | 0.999 | 1.000 |
| Nov-18 | 0.993 | 0.984 | 0.997 |
| Dec-18 | 0.998 | 0.981 | 0.987 |
| Jan-19 | 0.990 | 0.977 | 0.996 |
| Feb-19 | 0.989 | 0.920 | 0.972 |
| Mar-19 | 0.998 | 0.965 | 0.978 |
| Apr-19 | 0.992 | 0.969 | 0.980 |
| May-19 | 0.963 | 0.863 | 0.964 |
| Jun-19 | 0.989 | 0.960 | 0.989 |
| Jul-19 | 0.998 | 0.992 | 0.998 |
| Aug-19 | 0.995 | 0.981 | 0.995 |
| Sep-19 | 0.983 | 0.928 | 0.978 |
| Oct-19 | 0.989 | 0.959 | 0.987 |
| Nov-19 | 0.999 | 0.996 | 0.999 |
| Dec-19 | 0.984 | 0.935 | 0.980 |
| Jan-20 | 0.991 | 0.962 | 0.989 |
| Feb-20 | 0.998 | 0.993 | 0.998 |
| Mar-20 | 0.987 | 0.948 | 0.977 |
| Apr-20 | 0.702 | 0.650 | 0.817 |
| May-20 | 0.925 | 0.103 | 0.763 |
| Jun-20 | 0.995 | 0.841 | 0.919 |
| Jul-20 | 0.918 | 0.798 | 0.881 |
| Aug-20 | 0.926 | 0.840 | 0.968 |
| Sep-20 | 0.999 | 0.984 | 0.983 |
| Oct-20 | 0.997 | 0.990 | 0.994 |
| Nov-20 | 0.997 | 0.984 | 0.992 |
| Dec-20 | 0.981 | 0.924 | 0.963 |
Note: the blue line shows the cross-sectional correlation between the contemporaneous factor loadings $$ λ_0 $$ estimated on the sample ending at time t and the $$ λs $$ estimated on the sample ending at time $$ t+1 $$. The red (yellow) line shows the same statistics but for $$ λ_1 (λ_2) $$.
Last Update:
February 25, 2021