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Inflation Persistence and Changes in the Monetary Regime: The Argentine Case

Author

Listed:
  • Laura D´Amato

    () (Central Bank of Argentina)

  • Lorena Garegnani

    () (Central Bank of Argentina)

  • Juan M. Sotes Paladino

    (Central Bank of Argentina)

Abstract

We study the evolution of inflation persistence in Argentina between 1980 and 2007, a period in which significant changes in mean inflation can be detected by simple observation. We adopt both a timeseries univariate and a frequency-domain approach. Following the former perspective breaks in the mean are identified, with inflation being highly persistent during the high inflation period, but less persistent since the adoption of the Convertibility regime and the decline of the inflation rate afterwards. When we analyze the "low inflation" period separately, we are able to identify changes in both mean and persistence of inflation before and after the adoption of a managed float in 2002. In this sense, frequency-domain analysis shows that overall volatility in prices is significantly higher during the post-Convertibility regime, though the contribution of high-frequency (temporary and seasonal) movements to this volatility was relatively more important during the Convertibility regime.

Suggested Citation

  • Laura D´Amato & Lorena Garegnani & Juan M. Sotes Paladino, 2007. "Inflation Persistence and Changes in the Monetary Regime: The Argentine Case," BCRA Working Paper Series 200723, Central Bank of Argentina, Economic Research Department.
  • Handle: RePEc:bcr:wpaper:200723
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    References listed on IDEAS

    as
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    Citations

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    Cited by:

    1. Laura D´Amato & Lorena Garegnani & Emilio Blanco, 2008. "Forecasting Inflation in Argentina: Individual Models or Forecast Pooling?," BCRA Working Paper Series 200835, Central Bank of Argentina, Economic Research Department.
    2. Steffen Ahrens & Stephen Sacht, 2014. "Estimating a high-frequency New-Keynesian Phillips curve," Empirical Economics, Springer, vol. 46(2), pages 607-628, March.
    3. Basco, Emiliano & D'Amato, Laura & Garegnani, Lorena, 2009. "Understanding the money-prices relationship under low and high inflation regimes: Argentina 1977-2006," Journal of International Money and Finance, Elsevier, vol. 28(7), pages 1182-1203, November.
    4. Tomás Castagnino & Laura D´Amato, 2008. "Regime Dependence, Common Shocks and the Inflation-Relative Price Variability Relation," BCRA Working Paper Series 200838, Central Bank of Argentina, Economic Research Department.

    More about this item

    Keywords

    Argentina; frequency-domain approach; inflation persistence; time-varying mean; time-series;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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