On the dynamics of international inflation

Giovanni Caggiano and Efrem Castelnuovo

Economics Letters, 2011, vol. 112, issue 2, 189-191

Abstract: We investigate the dynamic properties of inflation in 20 OECD countries with a novel approach based on the autocorrelation function. We find evidence in favor of long memory and nonlinearity. Linear autoregressive models are shown to be misspecified.

Keywords: Heterogeneity; Aggregation; Long; memory; Inflation; dynamics (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:112:y:2011:i:2:p:189-191

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