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The dynamics of persistence in US inflation

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

Abstract

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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  • Noriega, Antonio E. & Ramos-Francia, Manuel, 2009. "The dynamics of persistence in US inflation," Economics Letters, Elsevier, vol. 105(2), pages 168-172, November.
    • Handle: RePEc:eee:ecolet:v:105:y:2009:i:2:p:168-172
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    Cited by:

    1. Ibrahim Abdulhamid Danlami, 2019. "Inflation Persistence in the West African Commonwealth Countries," Academic Journal of Economic Studies, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, vol. 5(3), pages 80-89, September.
    2. Kruse, Robinson & Sibbertsen, Philipp, 2012. "Long memory and changing persistence," Economics Letters, Elsevier, vol. 114(3), pages 268-272.
    3. Wolters Maik H. & Tillmann Peter, 2015. "The changing dynamics of US inflation persistence: a quantile regression approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(2), pages 161-182, April.
    4. Antonio Noriega & Carlos Capistrán & Manuel Ramos-Francia, 2013. "On the dynamics of inflation persistence around the world," Empirical Economics, Springer, vol. 44(3), pages 1243-1265, June.
    5. Oloko, Tirimisiyu F. & Ogbonna, Ahamuefula E. & Adedeji, Abdulfatai A. & Lakhani, Noman, 2021. "Fractional cointegration between gold price and inflation rate: Implication for inflation rate persistence," Resources Policy, Elsevier, vol. 74(C).
    6. S Coleman & K Sirichand, 2015. "Investigating Multiple Changes in Persistence in International Yields," Economic Issues Journal Articles, Economic Issues, vol. 20(1), pages 65-90, March.
    7. Simeon Coleman Author name: Vitor Leone, 2012. "Time-series characteristics of UK commercial property returns: Testing for multiple changes in persistence," NBS Discussion Papers in Economics 2012/03, Economics, Nottingham Business School, Nottingham Trent University.
    8. Kruse Robinson & Ventosa-Santaulària Daniel & Noriega Antonio E., 2017. "Changes in persistence, spurious regressions and the Fisher hypothesis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(3), pages 1-28, June.
    9. Aslanidis, Nektarios & Koursaros, Demetris & Otto, Glenn, 2024. "Asymmetry in inflation persistence under inflation targeting," The Quarterly Review of Economics and Finance, Elsevier, vol. 98(C).
    10. Edward N. Gamber & Jeffrey P. Liebner & Julie K. Smith, 2016. "Inflation persistence: revisited," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 9(1), pages 25-44.
      • Edward N. Gamber & Jeffrey P. Liebner & Julie K. Smith, 2013. "Inflation Persistence: Revisited," Working Papers 2013-002, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
    11. Masseran, N. & Razali, A.M. & Ibrahim, K. & Wan Zin, W.Z., 2012. "Evaluating the wind speed persistence for several wind stations in Peninsular Malaysia," Energy, Elsevier, vol. 37(1), pages 649-656.
    12. de Oliveira Lima Cagliari Marques, Guilherme & Gonzalez de Freitas Pinto, Mateus, 2024. "Dynamics of persistence in Brazilian economic uncertainty, expectation, and confidence indexes," Finance Research Letters, Elsevier, vol. 70(C).
    13. Carlos Capistrán & Daniel Chiquiar & Juan R. Hernández, 2019. "Identifying Dornbusch's Exchange Rate Overshooting with Structural VECs: Evidence from Mexico," International Journal of Central Banking, International Journal of Central Banking, vol. 15(5), pages 207-254, December.
    14. Tule, Moses K. & Salisu, Afees A. & Ebuh, Godday U., 2020. "A test for inflation persistence in Nigeria using fractional integration & fractional cointegration techniques," Economic Modelling, Elsevier, vol. 87(C), pages 225-237.
    15. Lenin Arango-Castillo & Francisco J. Martínez-Ramírez & María José Orraca, 2024. "Univariate Measures of Persistence: A Comparative Analysis," Working Papers 2024-11, Banco de México.
    16. Rob Ackrill and Simeon Coleman, 2012. "Inflation dynamics in central and eastern European countries," NBS Discussion Papers in Economics 2012/01, Economics, Nottingham Business School, Nottingham Trent University.
    17. Cook, Steven & Fosten, Jack, 2019. "Replicating rockets and feathers," Energy Economics, Elsevier, vol. 82(C), pages 139-151.
    18. Otavio Ribeiro de Medeiros and Vitor Leone, 2012. "Multiple Changes in Persistence vs. Explosive Behaviour: The Dotcom Bubble," NBS Discussion Papers in Economics 2012/02, Economics, Nottingham Business School, Nottingham Trent University.
    19. Vasilios Plakandaras & Periklis Gogas & Rangan Gupta & Theophilos Papadimitriou, 2015. "US inflation dynamics on long-range data," Applied Economics, Taylor & Francis Journals, vol. 47(36), pages 3874-3890, August.
    20. Antonakakis, Nikolaos & Cunado, Juncal & Gil-Alana, Luis A. & Gupta, Rangan, 2016. "Is inflation persistence different in reality?," Economics Letters, Elsevier, vol. 148(C), pages 55-58.
    21. Oloko, Tirimisiyu F. & Ogbonna, Ahamuefula E. & Adedeji, Abdulfatai A. & Lakhani, Noman, 2021. "Oil price shocks and inflation rate persistence: A Fractional Cointegration VAR approach," Economic Analysis and Policy, Elsevier, vol. 70(C), pages 259-275.
    22. Nuruddeen Usman & Luis Alberiko Gil‐Alana, 2025. "Inflation Persistence in the G7: The Effects of the Covid‐19 Pandemic and of the Russia‐Ukraine War," Manchester School, University of Manchester, vol. 93(3), pages 281-288, June.
    23. Simeon Coleman & Vitor Leone, 2015. "An investigation of regime shifts in UK commercial property returns: a time series analysis," Applied Economics, Taylor & Francis Journals, vol. 47(60), pages 6479-6492, December.
    24. Leone, Vitor & de Medeiros, Otavio Ribeiro, 2015. "Signalling the Dotcom bubble: A multiple changes in persistence approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 55(C), pages 77-86.
    25. Fosten, Jack & Ghoshray, Atanu, 2011. "Dynamic persistence in the unemployment rate of OECD countries," Economic Modelling, Elsevier, vol. 28(3), pages 948-954, May.

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