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The dynamics of persistence in US inflation

  • Noriega, Antonio E.
  • Ramos-Francia, Manuel

Using a recently developed time-series approach, we show that post-WWII US inflation 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.sciencedirect.com/science/article/B6V84-4WXSJX0-1/2/ad7f736feccefd7a04fe8fa02a8f1d58
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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 105 (2009)
Issue (Month): 2 (November)
Pages: 168-172

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Handle: RePEc:eee:ecolet:v:105:y:2009:i:2:p:168-172
Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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  1. Meredith Beechey & Par Osterholm, 2007. "The rise and fall of U.S. inflation persistence," Finance and Economics Discussion Series 2007-26, Board of Governors of the Federal Reserve System (U.S.).
  2. Andrews, Donald W K & Chen, Hong-Yuan, 1994. "Approximately Median-Unbiased Estimation of Autoregressive Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(2), pages 187-204, April.
  3. Timothy Cogley & Giorgio E. Primiceri & Thomas J. Sargent, 2008. "Inflation-Gap Persistence in the U.S," NBER Working Papers 13749, National Bureau of Economic Research, Inc.
  4. Robert Taylor & Stephen Leybourne & David Harvey, 2004. "Modified Tests for a Change in Persistence," Econometric Society 2004 Australasian Meetings 64, Econometric Society.
  5. Jean Boivin & Marc P. Giannoni, 2006. "Has Monetary Policy Become More Effective?," The Review of Economics and Statistics, MIT Press, vol. 88(3), pages 445-462, August.
  6. Benati, Luca, 2008. "Investigating inflation persistence across monetary regimes," Working Paper Series 0851, European Central Bank.
  7. Gadea, Maria & Mayoral, Laura, 2005. "The Persistence of Inflation in OECD Countries: A Fractionally Integrated Approach," MPRA Paper 815, University Library of Munich, Germany.
  8. Giorgio Primiceri, 2005. "Why Inflation Rose and Fell: Policymakers' Beliefs and US Postwar Stabilization Policy," NBER Working Papers 11147, National Bureau of Economic Research, Inc.
  9. 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.
  10. Bruce E. Hansen, 1999. "The Grid Bootstrap And The Autoregressive Model," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 594-607, November.
  11. Pivetta, Frederic & Reis, Ricardo, 2007. "The persistence of inflation in the United States," Journal of Economic Dynamics and Control, Elsevier, vol. 31(4), pages 1326-1358, April.
  12. Thomas Sargent & Noah Williams & Tao Zha, 2004. "Shocks and government beliefs: the rise and fall of American inflation," Working Paper 2004-22, Federal Reserve Bank of Atlanta.
  13. Grubb, David & Symons, James, 1987. "Bias in Regressions With a Lagged Dependent Variable," Econometric Theory, Cambridge University Press, vol. 3(03), pages 371-386, June.
  14. Manmohan S. Kumar & Tatsuyoshi Okimoto, 2007. "Dynamics of Persistence in International Inflation Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(6), pages 1457-1479, 09.
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