Measuring inflation persistence: a structural time series approach

Maarten Dossche and Gerdie Everaert

Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium from Ghent University, Faculty of Economics and Business Administration

Abstract: Using a structural time series approach we measure different sorts of inflation persistence allowing for an unobserved time-varying inflation target. Unobserved components are identified using Kalman filtering and smoothing techniques. Posterior densities of the model parameters and the unobserved components are obtained in a Bayesian framework based on importance sampling. We find that inflation persistence, expressed by the half life of a shock, can range from 1 quarter in case of a cost-push shock to several years for a shock to long-run inflation expectations or the output gap.

Keywords: Inflation Target; State Space Model; Kalman Filter; Bayesian Analysis (search for similar items in EconPapers)
JEL-codes: C11 C22 C32 E31 (search for similar items in EconPapers)
Pages: 42 pages
Date: 2005-11
New Economics Papers: this item is included in nep-ets, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (43)

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http://wps-feb.ugent.be/Papers/wp_05_340.pdf (application/pdf)

Related works:
Working Paper: Measuring inflation persistence: a structural time series approach (2005)
Working Paper: Measuring inflation persistence: A structural time series approach (2005)
Working Paper: Measuring inflation persistence: a structural time series approach (2005)
Working Paper: Measuring Inflation Persistence: A Structural Time Series Approach (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:rug:rugwps:05/340

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