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The Long Memory and Variability of Inflation : A Reappraisal of the Friedman Hypothesis

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  • Baillie, R.
  • Chung, C.
  • Tieslau, M.

    (Tilburg University, Center for Economic Research)

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    Abstract

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    Bibliographic Info

    Paper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 1992-46.

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    Date of creation: 1992
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    Handle: RePEc:dgr:kubcen:199246

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    Web page: http://center.uvt.nl

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    References

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    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.:
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    1. Mankiw, N Gregory & Miron, Jeffrey A, 1986. "The Changing Behavior of the Term Structure of Interest Rates," The Quarterly Journal of Economics, MIT Press, vol. 101(2), pages 211-28, May.
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    Cited by:
    1. Laura Mayoral, 2005. "The persistence of inflation in OECD countries: A fractionally integrated approach," Economics Working Papers 958, Department of Economics and Business, Universitat Pompeu Fabra, revised Oct 2005.
    2. Gadea, Maria Dolores & Sabate, Marcela & Serrano, Jose Maria, 2004. "Structural breaks and their trace in the memory: Inflation rate series in the long-run," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(2), pages 117-134, April.
    3. Koop, G. & Ley, E. & Osiewalski, J. & Steel, M. F. J., . "Bayesian analysis of long memory and persistence using ARFIMA models," CORE Discussion Papers RP -1246, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    4. Cheung, Yin-Wong & Chung, Sang-Kuck, 2009. "A Long Memory Model with Mixed Normal GARCH for US Inflation Data," Santa Cruz Department of Economics, Working Paper Series qt2202s99q, Department of Economics, UC Santa Cruz.
    5. Laura Mayoral, 2005. "Is the observed persistence spurious? A test for fractional integration versus short memory and structural breaks," Economics Working Papers 956, Department of Economics and Business, Universitat Pompeu Fabra.

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