IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

Instability in U.S. inflation: 1967-2005

  • James M. Nason

Maintaining stables prices and keeping inflation in check have become key policy objectives of the Federal Reserve and other central banks. Evidence indicates that inflation has become less persistent and volatile since the early 1980s. Although economists have examined the implications for inflation modeling and forecasting, little information exists about whether changes or instabilities in inflation dynamics coincide with specific economic events such as oil price shocks or recessions. ; This article studies U.S. monthly inflation, inflation growth, and price level dynamics from January 1967 to September 2005. The author employs four price level measures—two versions of the monthly consumer price index and two versions of the monthly personal consumption expenditure deflator—with the goal of identifying possible instabilities in these dynamics. ; Autoregressive, moving average, and unobserved components models provide estimates on various aspects of inflation and price levels. Two rolling samples spanning the 1967–2005 period are constructed to uncover evidence about possible instability in mean inflation and the persistence and volatility of inflation and inflation growth. ; One way to summarize the empirical results is that this instability coincides with different economic events such as the oil price shocks of the 1970s or the end of the 1990–91 recession. An unresolved question is whether such changes are one-time events or can be expected to be repeated systematically in the future.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.frbatlanta.org/filelegacydocs/erq206_nason.pdf
Download Restriction: no

Article provided by Federal Reserve Bank of Atlanta in its journal Economic Review.

Volume (Year): (2006)
Issue (Month): Q 2 ()
Pages: 39-59

as
in new window

Handle: RePEc:fip:fedaer:y:2006:i:q2:p:39-59:n:v.91no.2
Contact details of provider: Postal: 1000 Peachtree St., N.E., Atlanta, Georgia 30309
Phone: 404-521-8500
Web page: http://www.frbatlanta.org/Email:


More information through EDIRC

Order Information: Email:


References listed on IDEAS
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.:

as in new window
  1. Donald W.K. Andrews, 1990. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Cowles Foundation Discussion Papers 943, Cowles Foundation for Research in Economics, Yale University.
  2. Hansen, Bruce E, 1997. "Approximate Asymptotic P Values for Structural-Change Tests," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(1), pages 60-67, January.
  3. William Brock & Steven Durlauf & Kenneth West, 2005. "Model uncertainty and policy evaluation: some theory and empirics," Proceedings, Federal Reserve Bank of San Francisco.
  4. Jonas D. M. Fisher & Chin Te Liu & Ruilin Zhou, 2002. "When can we forecast inflation?," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q I, pages 32-44.
  5. Brock, William A, 1974. "Money and Growth: The Case of Long Run Perfect Foresight," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 15(3), pages 750-77, October.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:fip:fedaer:y:2006:i:q2:p:39-59:n:v.91no.2. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Meredith Rector)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.