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A Note on the Dynamics of Persistence in US Inflation

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  • Noriega Antonio E.
  • Ramos Francia Manuel

Abstract

Empirical research on the degree and stability of inflation persistence in the US has produced mixed results: some suggest high and unchanged persistence during the last few decades, while others argue in favor of a decline in persistence since the early 1980s. We show that post-WWII US inflation (monthly and quarterly) 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.

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File URL: http://www.banxico.org.mx/publicaciones-y-discursos/publicaciones/documentos-de-investigacion/banxico/%7BE78A0EF8-4241-BD03-782A-6334960E47EB%7D.pdf
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Bibliographic Info

Paper provided by Banco de México in its series Working Papers with number 2008-12.

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Date of creation: Aug 2008
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Handle: RePEc:bdm:wpaper:2008-12

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Web page: http://www.banxico.org.mx
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Keywords: Inflation; Multiple change in persistence; Stationarity; Great inflation.;

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  1. 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.
  2. Beechey, Meredith & Österholm, Pär, 2007. "The Rise and Fall of U.S. Inflation Persistence," Working Paper Series, Uppsala University, Department of Economics 2007:18, Uppsala University, Department of Economics.
  3. Stephen J. Leybourne & Tae-Hwan Kim & A. M. Robert Taylor, 2006. "Regression-based Tests for a Change in Persistence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(5), pages 595-621, October.
  4. Batini, Nicoletta & Nelson, Edward, 2001. "The Lag from Monetary Policy Actions to Inflation: Friedman Revisited," International Finance, Wiley Blackwell, Wiley Blackwell, vol. 4(3), pages 381-400, Winter.
  5. Gadea, Maria & Mayoral, Laura, 2005. "The Persistence of Inflation in OECD Countries: A Fractionally Integrated Approach," MPRA Paper 815, University Library of Munich, Germany.
  6. Manmohan S. Kumar & Tatsuyoshi Okimoto, 2007. "Dynamics of Persistence in International Inflation Rates," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 39(6), pages 1457-1479, 09.
  7. Stephen Leybourne & Robert Taylor & Tae-Hwan Kim, 2007. "CUSUM of Squares-Based Tests for a Change in Persistence," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(3), pages 408-433, 05.
  8. N. Gregory Mankiw, 1987. "The Optimal Collection of Seigniorage: Theory and Evidence," NBER Working Papers 2270, National Bureau of Economic Research, Inc.
  9. Thomas Sargent & Noah Williams & Tao Zha, 2006. "Shocks and Government Beliefs: The Rise and Fall of American Inflation," American Economic Review, American Economic Association, American Economic Association, vol. 96(4), pages 1193-1224, September.
  10. Luca Benati, 2008. "Investigating Inflation Persistence Across Monetary Regimes," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 123(3), pages 1005-1060, August.
  11. Boivin, Jean & Giannoni, Marc, 2006. "Has Monetary Policy Become More Effective?," CEPR Discussion Papers, C.E.P.R. Discussion Papers 5463, C.E.P.R. Discussion Papers.
  12. Robert Taylor & Stephen Leybourne & David Harvey, 2004. "Modified Tests for a Change in Persistence," Econometric Society 2004 Australasian Meetings 64, Econometric Society.
  13. Kim, Jae-Young, 2000. "Detection of change in persistence of a linear time series," Journal of Econometrics, Elsevier, Elsevier, vol. 95(1), pages 97-116, March.
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Cited by:
  1. Antonio E. Noriega & Manuel Ramos Francia, 2009. "On the dynamics of inflation persistence around the world," Working Papers, Banco de México 2009-02, Banco de México.

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