A Note on the Dynamics of Persistence in US Inflation

Antonio Noriega (anoriega@banxico.org.mx) and Manuel Ramos Francia

No 2008-12, Working Papers from Banco de México

Abstract: 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.

JEL-codes: C12 C22 E31 E52 (search for similar items in EconPapers)
Date: 2008-08
New Economics Papers: this item is included in nep-cba, nep-ets, nep-mac and nep-mon
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:bdm:wpaper:2008-12

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