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On the relationship between inflation persistence and temporal aggregation

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Author Info
Ivan Paya
K Holden
A Duarte

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Abstract

This paper examines the impact of temporal aggregation on alternative definitions of inflation persistence. Using the CPI and the core PCE deflator of the US, our results show that temporal aggregation from the monthly to the quarterly to the annual frequency induces persistence in the inflation series.

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File URL: http://www.lums.lancs.ac.uk/publications/viewpdf/004340/
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Publisher Info
Paper provided by Lancaster University Management School, Economics Department in its series Working Papers with number 004340.

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Date of creation: 2006
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Handle: RePEc:lan:wpaper:004340

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Related research
Keywords: Aggregation; Inflation; Persistence;

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  1. Giovanni Caggiano & Efrem Castelnuovo, 2008. "Long Memory and Non-Linearities in International Inflation," "Marco Fanno" Working Papers 0076, Dipartimento di Scienze Economiche "Marco Fanno". [Downloadable!]
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