A Note on the Dynamics of Persistence in US Inflation
AbstractEmpirical 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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Bibliographic InfoPaper provided by Banco de México in its series Working Papers with number 2008-12.
Date of creation: Aug 2008
Date of revision:
Inflation; Multiple change in persistence; Stationarity; Great inflation.;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-03-14 (All new papers)
- NEP-CBA-2009-03-14 (Central Banking)
- NEP-ETS-2009-03-14 (Econometric Time Series)
- NEP-MAC-2009-03-14 (Macroeconomics)
- NEP-MON-2009-03-14 (Monetary Economics)
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