Arbeitspapier
A note on the dynamics of persistence in US inflation
Empirical research on the degree and stability of inflation persistence in the US has produced mixed results: some suggest high and unchanged persistence during the last few decades, while others argue in favor of a decline in persistence since the early 1980s. We contribute to this debate by applying a test specifically designed to test for multiple changes in persistence, allowing for consistent estimation of the possible change dates, and robust to level breaks. We show that post-WWII US inflation (monthly and quarterly) became highly persistent during the 'Great Inflation'period, and then switched back to a low persistence process during 1984, and has remained stationary until the present day.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Papers ; No. 2008-12
- Klassifikation
-
Wirtschaft
Hypothesis Testing: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Price Level; Inflation; Deflation
Monetary Policy
- Thema
-
Inflation
Multiple change in persistence
Stationarity
Great inflation
Inflation
USA
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Noriega, Antonio E.
Ramos-Francia, Manuel
- Ereignis
-
Veröffentlichung
- (wer)
-
Banco de México
- (wo)
-
Ciudad de México
- (wann)
-
2008
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Noriega, Antonio E.
- Ramos-Francia, Manuel
- Banco de México
Entstanden
- 2008
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