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Inflation persistence in Central and Eastern European countries

  • Zsolt Darvas
  • Balázs Varga

This paper studies inflation persistence with time-varying coefficient autoregressions for twelve central European countries,in comparison with the United States and the euro area. Inflation persistence tends to be higher in times of high inflation. Since the oil price shocks, inflation persistence has declined both in the US and euro-area. In most central and eastern European countries, for which our study covers 1993-2012, inflation persistence has also declined, with the main exceptions of the Czech Republic, Slovakia and Slovenia, where persistence seems to be rather stable.

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File URL: http://www.bruegel.org/download/parent/787-inflation-persistence-in-central-and-eastern-european-countries/file/1673-inflation-persistence-in-central-and-eastern-european-countries/
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Paper provided by Bruegel in its series Working Papers with number 787.

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Date of creation: Jul 2013
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Handle: RePEc:bre:wpaper:787
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  1. Pivetta, Frederic & Reis, Ricardo, 2007. "The persistence of inflation in the United States," Journal of Economic Dynamics and Control, Elsevier, vol. 31(4), pages 1326-1358, April.
  2. Maarten Dossche & Gerdie Everaert, 2005. "Measuring Inflation Persistence: A Structural Time Series Approach," Computing in Economics and Finance 2005 459, Society for Computational Economics.
  3. Kim, Jae-Young, 2000. "Detection of change in persistence of a linear time series," Journal of Econometrics, Elsevier, vol. 95(1), pages 97-116, March.
  4. Cuestas, Juan Carlos & Harrison, Barry, 2010. "Inflation persistence and nonlinearities in Central and Eastern European countries," Economics Letters, Elsevier, vol. 106(2), pages 81-83, February.
  5. Kalaba, Robert E. & Tesfatsion, Leigh S., 1990. "Flexible Least Squares for Approximately Linear Systems," Staff General Research Papers 11190, Iowa State University, Department of Economics.
  6. Kalaba, Robert E. & Tesfatsion, Leigh S., 1988. "The Flexible Least Squares Approach to Time-Varying Linear Regression," Staff General Research Papers 11198, Iowa State University, Department of Economics.
  7. Franta, Michal & Saxa, Branislav & Šmídková, Katerina, 2007. "Inflation persistence: euro area and new EU Member States," Working Paper Series 0810, European Central Bank.
  8. Rob Ackrill and Simeon Coleman, 2012. "Inflation dynamics in central and eastern European countries," Working Papers 2012/01, Nottingham Trent University, Nottingham Business School, Economics Division.
  9. Kim, Jae-Young & Belaire-Franch, Jorge & Amador, Rosa Badillo, 2002. "Corrigendum to "Detection of change in persistence of a linear time series" [J. Econom. 95 (2000) 97-116]," Journal of Econometrics, Elsevier, vol. 109(2), pages 389-392, August.
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