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Is Inflation Persistence Over?

  • Fernando N. de Oliveira
  • Myrian Petrassi

We analyze inflation persistence in several industrial and emerging countries in the recent past by estimating reduced-form models of inflation dynamics. We select a very representative group of 23 industrial and 17 emerging economies. Our sample period is comprised of quarterly data and starts in the first quarter of 1995. Our results show that inflation persistence is low and stable for all countries in our sample. It seems to be lower in industrial relative to emerging countries. Finally, even countries that have had “hyperinflation” experience in the recent past showed low levels of inflation persistence, albeit apparently higher than the other countries in our sample.

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File URL: http://www.bcb.gov.br/pec/wps/ingl/wps230.pdf
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Paper provided by Central Bank of Brazil, Research Department in its series Working Papers Series with number 230.

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Date of creation: Dec 2010
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Handle: RePEc:bcb:wpaper:230
Contact details of provider: Web page: http://www.bcb.gov.br/?english

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  1. Olivier Jean Blanchard & Jordi Galí, 2005. "Real wage rigidities and the New Keynesian model," Working Papers 05-14, Federal Reserve Bank of Boston.
  2. Calvo, Guillermo A., 1983. "Staggered prices in a utility-maximizing framework," Journal of Monetary Economics, Elsevier, vol. 12(3), pages 383-398, September.
  3. James H. Stock & Mark W. Watson, 2006. "Why Has U.S. Inflation Become Harder to Forecast?," NBER Working Papers 12324, National Bureau of Economic Research, Inc.
  4. Glenn D. Rudebusch, 2002. "Assessing the Lucas critique in monetary policy models," Working Paper Series 2002-02, Federal Reserve Bank of San Francisco.
  5. Galí, Jordi & Gertler, Mark & López-Salido, J David, 2001. "European Inflation Dynamics," CEPR Discussion Papers 2684, C.E.P.R. Discussion Papers.
  6. O'Reilly,Gerard & Whelan, Karl, 2004. "Has Euro-Area Inflation Persistence Changed Over Time?," Research Technical Papers 4/RT/04, Central Bank of Ireland.
  7. Maarten Dossche & Gerdie Everaert, 2005. "Measuring inflation persistence: A structural time series approach," Money Macro and Finance (MMF) Research Group Conference 2005 85, Money Macro and Finance Research Group.
  8. Jeffrey C. Fuhrer, 2005. "Intrinsic and inherited inflation persistence," Working Papers 05-8, Federal Reserve Bank of Boston.
  9. Luca Benati, 2008. "Investigating Inflation Persistence Across Monetary Regimes," The Quarterly Journal of Economics, Oxford University Press, vol. 123(3), pages 1005-1060.
  10. Frederic S. Mishkin, 2007. "Inflation Dynamics," NBER Working Papers 13147, National Bureau of Economic Research, Inc.
  11. Filippo Altissimo & Michael Ehrmann & Frank Smets, 2006. "Inflation persistence and price-setting behaviour in the euro area – a summary of the IPN evidence," Occasional Paper Series 46, European Central Bank.
  12. Karl Whelan & Jeremy Rudd, 2005. "Modelling inflation dynamics : a critical review of recent research," Open Access publications 10197/237, School of Economics, University College Dublin.
  13. Nicoletta Batini, 2006. "Euro area inflation persistence," Empirical Economics, Springer, vol. 31(4), pages 977-1002, November.
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