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A Note on the Dynamics of Persistence in US Inflation

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Author Info
Noriega Antonio E.
Ramos Francia Manuel

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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/documents/%7BE78A0EF8-4241-BD03-782A-6334960E47EB%7D.pdf
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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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Related research
Keywords: Inflation; Multiple change in persistence; Stationarity; Great inflation.;

Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
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

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This page was last updated on 2009-11-26.

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