Inflation Persistence: Revisited

Edward N. Gamber, Jeffrey P. Liebner and Julie Smith
Additional contact information
Edward N. Gamber: Lafayette College
Jeffrey P. Liebner: Lafayette College

No 2013-002, Working Papers from The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting

Abstract: This paper presents evidence on the persistence of inflation in the United States over the period 1947- 2010. Of particular interest is whether the persistence of inflation has changed over that time period. We use a reduced form approach to measuring inflation persistence, modeling inflation as an autoregressive process. We measure persistence as the half-life of a shock to that process. Our analysis employs both a frequentist approach and a Bayesian approach to identify breaks in inflation persistence. Both our frequentist and Bayesian results indicate that inflation persistence has undergone significant changes over the past 60 years.

Keywords: inflation; inflation persistence; Bayesian estimation (search for similar items in EconPapers)
JEL-codes: C22 C32 E31 E32 (search for similar items in EconPapers)
Pages: 25 pages
Date: 2013-04
New Economics Papers: this item is included in nep-mon
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Citations: View citations in EconPapers (4)

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https://www2.gwu.edu/~forcpgm/2013-002.pdf First version, 2013 (application/pdf)

Related works:
Journal Article: Inflation persistence: revisited (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:gwc:wpaper:2013-002

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