Advanced Search
MyIDEAS: Login

The dynamics of persistence in US inflation

Contents:

Author Info

  • Noriega, Antonio E.
  • Ramos-Francia, Manuel

Abstract

Using a recently developed time-series approach, we show that post-WWII US inflation became highly persistent during the 'Great Inflation' period, and then switched back to a low persistence process during 1984, and has remained stationary until the present day.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.sciencedirect.com/science/article/B6V84-4WXSJX0-1/2/ad7f736feccefd7a04fe8fa02a8f1d58
Download Restriction: Full text for ScienceDirect subscribers only

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 105 (2009)
Issue (Month): 2 (November)
Pages: 168-172

as in new window
Handle: RePEc:eee:ecolet:v:105:y:2009:i:2:p:168-172

Contact details of provider:
Web page: http://www.elsevier.com/locate/ecolet

Related research

Keywords: Inflation Multiple change in persistence Stationarity Great Inflation;

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Timothy Cogley & Giorgio E. Primiceri & Thomas J. Sargent, 2010. "Inflation-Gap Persistence in the US," American Economic Journal: Macroeconomics, American Economic Association, vol. 2(1), pages 43-69, January.
  2. Hansen,B.E., 1998. "The grid bootstrap and the autoregressive model," Working papers 26, Wisconsin Madison - Social Systems.
  3. Beechey, Meredith & Österholm, Pär, 2007. "The Rise and Fall of U.S. Inflation Persistence," Working Paper Series 2007:18, Uppsala University, Department of Economics.
  4. Luca Benati, 2008. "Investigating Inflation Persistence Across Monetary Regimes," The Quarterly Journal of Economics, MIT Press, vol. 123(3), pages 1005-1060, August.
  5. Jean Boivin & Marc P. Giannoni, 2003. "Has Monetary Policy Become More Effective?," NBER Working Papers 9459, National Bureau of Economic Research, Inc.
  6. Robert Taylor & Stephen Leybourne & David Harvey, 2004. "Modified Tests for a Change in Persistence," Econometric Society 2004 Australasian Meetings 64, Econometric Society.
  7. Leybourne Stephen & Kim Tae-Hwan & Taylor A.M. Robert, 2007. "Detecting Multiple Changes in Persistence," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 11(3), pages 1-34, September.
  8. Manmohan S. Kumar & Tatsuyoshi Okimoto, 2007. "Dynamics of Persistence in International Inflation Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(6), pages 1457-1479, 09.
  9. Grubb, David & Symons, James, 1987. "Bias in Regressions With a Lagged Dependent Variable," Econometric Theory, Cambridge University Press, vol. 3(03), pages 371-386, June.
  10. Andrews, Donald W K & Chen, Hong-Yuan, 1994. "Approximately Median-Unbiased Estimation of Autoregressive Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(2), pages 187-204, April.
  11. María Dolores Gadea & Laura Mayoral, 2006. "The Persistence of Inflation in OECD Countries: A Fractionally Integrated Approach," International Journal of Central Banking, International Journal of Central Banking, vol. 2(1), March.
  12. Thomas Sargent & Noah Williams & Tao Zha, 2006. "Shocks and Government Beliefs: The Rise and Fall of American Inflation," American Economic Review, American Economic Association, vol. 96(4), pages 1193-1224, September.
  13. Pivetta, Frederic & Reis, Ricardo, 2007. "The persistence of inflation in the United States," Journal of Economic Dynamics and Control, Elsevier, vol. 31(4), pages 1326-1358, April.
  14. Giorgio Primiceri, 2005. "Why Inflation Rose and Fell: Policymakers' Beliefs and US Postwar Stabilization Policy," NBER Working Papers 11147, National Bureau of Economic Research, Inc.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Kruse, Robinson & Sibbertsen, Philipp, 2010. "Long memory and changing persistence," Hannover Economic Papers (HEP) dp-455, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  2. Robinson Kruse & Daniel Ventosa-Santaulària & Antonio E. Noriega, 2013. "Changes in persistence, spurious regressions and the Fisher hypothesis," CREATES Research Papers 2013-11, School of Economics and Management, University of Aarhus.
  3. Antonio Noriega & Carlos Capistrán & Manuel Ramos-Francia, 2013. "On the dynamics of inflation persistence around the world," Empirical Economics, Springer, vol. 44(3), pages 1243-1265, June.
  4. Tillmann, Peter & Wolters, Maik Hendrik, 2012. "The changing dynamics of US inflation persistence: A quantile regression approach," IMFS Working Paper Series 60, Institute for Monetary and Financial Stability (IMFS), Goethe University Frankfurt.
  5. Fosten, Jack & Ghoshray, Atanu, 2011. "Dynamic persistence in the unemployment rate of OECD countries," Economic Modelling, Elsevier, vol. 28(3), pages 948-954, May.
  6. Rob Ackrill and Simeon Coleman, 2012. "Inflation dynamics in central and eastern European countries," Working Papers 2012/01, Nottingham Trent University, Nottingham Business School, Economics Division.
  7. Otavio Ribeiro de Medeiros and Vitor Leone, 2012. "Multiple Changes in Persistence vs. Explosive Behaviour: The Dotcom Bubble," Working Papers 2012/02, Nottingham Trent University, Nottingham Business School, Economics Division.
  8. Simeon Coleman Author name: Vitor Leone, 2012. "Time-series characteristics of UK commercial property returns: Testing for multiple changes in persistence," Working Papers 2012/03, Nottingham Trent University, Nottingham Business School, Economics Division.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:eee:ecolet:v:105:y:2009:i:2:p:168-172. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.