Inflation Persistence in Central and Eastern European Countries

Zsolt Darvas and Balázs Varga
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Balázs Varga: OTP Fund Management and Corvinus University of Budapest

No 1302, Working Papers from Department of Mathematical Economics and Economic Analysis, Corvinus University of Budapest

Abstract: This paper studies inflation persistence with time-varying-coefficient autoregressions for twelve Central-European countries, in comparison with the US and the euro-area. Inflation persistence tends to be higher in times of high inflation. Since the oil price shocks, inflation persistence declined both in the US and euro-area. In most central and eastern European countries, for which our time period 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. We also concluded that the OLS estimate of an autoregression is likely upward biased when the parameters change.

Keywords: inflation persistence; flexible least squares; Kalman-filter; time-varying coefficient models (search for similar items in EconPapers)
JEL-codes: C22 E31 (search for similar items in EconPapers)
Pages: 24 pages
Date: 2013-02, Revised 2013-07
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mon and nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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http://web.uni-corvinus.hu/matkg/working_papers/wp_2013_2_darvas_varga.pdf (application/pdf)

Related works:
Working Paper: Inflation persistence in Central and Eastern European countries (2013)
Working Paper: Inflation persistence in central and eastern European countries (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:mkg:wpaper:1302

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