Is inflation persistence intrinsic in industrial economies?

Andrew Levin () and Jeremy Piger

No 334, Working Paper Series from European Central Bank

Abstract: We apply both classical and Bayesian econometric methods to characterize the dynamic behavior of inflation for twelve industrial countries over the period 1984-2003, using four different price indices for each country. In particular, we estimate a univariate autoregressive (AR) model for each series, and consider the possibility of a structural break at an unknown date. For many of these countries, we find strong evidence for a break in the intercept of the AR equation in the late 1980s or early 1990s. Allowing for a break in intercept, the inflation measures generally exhibit relatively low inflation persistence. Evidently, high inflation persistence is not an inherent characteristic of industrial economies. JEL Classification: C11, C22, E31

Keywords: Bayesian econometrics; inflation dynamics; largest autoregressive root. (search for similar items in EconPapers)
Date: 2004-04
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Citations: View citations in EconPapers (173)

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Related works:
Working Paper: Is inflation persistence intrinsic in industrial economies? (2003)
Working Paper: Is Inflation Persistence Intrinsic in Industrial Economies? (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:2004334

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