Nonparametric modeling for the time-varying persistence of inflation

Deshui Yu, Li Chen and Luyang Li

Economics Letters, 2023, vol. 225, issue C

Abstract: This article develops a novel nonparametric time-varying auto-regressive distributed lag model to estimate the persistence of inflation. The local linear estimation method is used to estimate the coefficients. Empirically, the persistence of the inflation process in the United States declined prior to the global financial crisis (GFC) of 2007–2009, but then rebounded strongly until 2022.

Keywords: Inflation persistence; Time-varying coefficient model; Locally stationary process; Local linear estimation (search for similar items in EconPapers)
JEL-codes: C14 C22 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:225:y:2023:i:c:s0165176523000654

DOI: 10.1016/j.econlet.2023.111040

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