Measuring inflation persistence: a structural time series approach

Arbeitspapier

Time series estimates of inflation persistence incur an upward bias if shifts in the inflation target of the central bank remain unaccounted for. Using a structural time series approach we measure different sorts of inflation persistence allowing for an unobserved timevarying inflation target. Unobserved components are identified using Kalman filtering and smoothing techniques. Posterior densities of the model parameters and the unobserved components are obtained in a Bayesian framework based on importance sampling. We find that inflation persistence, expressed by the halflife of a shock, can range from 1 quarter in case of a costpush shock to several years for a shock to longrun inflation expectations or the output gap.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: NBB Working Paper ; No. 70

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Bayesian Analysis: General ; Estimation: General ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Price Level; Inflation; Deflation
• Thema: Inflation persistence ; inflation target ; Kalman filter ; Bayesian analysis. ; Inflation ; Schätzung ; Zustandsraummodell

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Dossche, Maarten ; Everaert, Gerdie
• Ereignis: Veröffentlichung
• (wer): National Bank of Belgium
• (wo): Brussels
• (wann): 2005

Weitere Informationen

• Handle: http://hdl.handle.net/10419/144284
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ