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July 2023 Revised November 2024
JEL classification: C33, E24
Authors: Martín Almuzara, Richard Audoly, and Davide Melcangi
We extend time-series models that have so far been used to study price inflation (Stock and Watson [2016a]) and apply them to a micro-level dataset containing worker-level information on hourly wages. We construct a measure of aggregate nominal wage growth that (i) filters out noise and very transitory movements, (ii) quantifies the importance of idiosyncratic factors for aggregate wage dynamics, and (iii) strongly co-moves with labor market tightness, unlike existing indicators of wage inflation. We show that our measure is a reliable real-time indicator of wage pressures and a good predictor of future wage growth.
I declare that I have no relevant or material financial interests that relate to the research described in the paper “A measure of core wage inflation” submitted for your consideration as a New York Fed Staff Report. Prior to circulation, this paper was reviewed in accordance with the Federal Reserve Bank of New York review policy, available at https://www.newyorkfed.org/research/staff_reports/index.html.
Richard Audoly
I declare that I have no relevant or material financial interests that relate to the research described in the paper “A measure of core wage inflation” submitted for your consideration as a New York Fed Staff Report. Prior to circulation, this paper was reviewed in accordance with the Federal Reserve Bank of New York review policy, available at https://www.newyorkfed.org/research/staff_reports/index.html.
Davide Melcangi
I declare that I have no relevant or material financial interests that relate to the research described in the paper “A measure of core wage inflation” submitted for your consideration as a New York Fed Staff Report. Prior to circulation, this paper was reviewed in accordance with the Federal Reserve Bank of New York review policy, available at https://www.newyorkfed.org/research/staff_reports/index.html.
