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Evaluating inflation persistence considering model uncertainty and structural break

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  • Yong-Gook Jung

Abstract

There is little consensus about the historical change in inflation persistence. One of the reasons is that researchers cannot choose a uniform model structure due to model uncertainty. In this study, a model to investigate inflation persistence is proposed. Unlike previous studies, I try to overcome model uncertainty by being agnostic about the structure of the model. Estimation results indicate that inflation has become less persistent over time, implying that inflation persistence is related to the way how monetary policy is conducted.

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  • Yong-Gook Jung, 2019. "Evaluating inflation persistence considering model uncertainty and structural break," Applied Economics Letters, Taylor & Francis Journals, vol. 26(18), pages 1503-1510, October.
    • Handle: RePEc:taf:apeclt:v:26:y:2019:i:18:p:1503-1510
    DOI: 10.1080/13504851.2019.1584356
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    Cited by:

    1. Inês da Cunha Cabral & João Nicolau, 2022. "Inflation in the G7 and the expected time to reach the reference rate: A nonparametric approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 1608-1620, April.

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