Arbeitspapier
Inflation persistence in central and eastern European countries
This article 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 the 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. These findings have implications for the conduct of monetary policy and for a possible membership in the euro area. We also conclude that the OLS estimate of an autoregression is likely upward biased relative to the time-average of time-varying parameters, when the parameters change.
- ISBN
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978-615-5243-84-4
- Language
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Englisch
- Bibliographic citation
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Series: IEHAS Discussion Papers ; No. MT-DP - 2013/27
- Classification
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Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Price Level; Inflation; Deflation
- Subject
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flexible least squares
inflation persistence
Kalman-filter
time-varying coefficient models
- Event
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Geistige Schöpfung
- (who)
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Darvas, Zsolt
Varga, Balázs
- Event
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Veröffentlichung
- (who)
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Hungarian Academy of Sciences, Institute of Economics, Centre for Economic and Regional Studies
- (where)
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Budapest
- (when)
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2013
- Handle
- Last update
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10.03.2025, 11:43 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Darvas, Zsolt
- Varga, Balázs
- Hungarian Academy of Sciences, Institute of Economics, Centre for Economic and Regional Studies
Time of origin
- 2013
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