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Measuring inflation persistence under time-varying inflation target and stochastic volatility with jumps

Author

Listed:
  • Cássio R. A. Alves

    (University of São Paulo)

  • Márcio P. Laurini

    (University of São Paulo)

Abstract

We analyze whether the presence of a time-varying inflation target and stochastic volatility affect inflation persistence. We estimated different autoregressive specifications for inflation with and without time-varying parameters. The results show that the inflation persistence diminishes when we consider time-varying inflation target and stochastic volatility with jumps. We conclude that neglecting the time variation in inflation target and inflation volatility results in an upward biased estimation of persistence.

Suggested Citation

  • Cássio R. A. Alves & Márcio P. Laurini, 2022. "Measuring inflation persistence under time-varying inflation target and stochastic volatility with jumps," Economics Bulletin, AccessEcon, vol. 42(2), pages 342-349.
    • Handle: RePEc:ebl:ecbull:eb-21-00688
    as

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    References listed on IDEAS

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    More about this item

    Keywords

    Inflation persistence; Time-varying parameters; Stochastic volatility;
    All these keywords.

    JEL classification:

    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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