Inflation persistence: revisited

Edward N. Gamber, Jeffrey P. Liebner and Julie Smith

International Journal of Monetary Economics and Finance, 2016, vol. 9, issue 1, 25-44

Abstract: This paper presents evidence on the persistence of inflation in the USA over the period 1949-2014. Of particular interest is whether the persistence of inflation has changed over that time period. We use a reduced form approach to measuring inflation persistence, modelling inflation as an autoregressive process. We measure persistence as the half-life of a shock to that process. Our analysis employs both a Frequentist approach and a Bayesian approach to identify breaks in inflation persistence. Both our Frequentist and Bayesian results indicate that inflation persistence has undergone significant changes over the past 60 years.

Keywords: inflation persistence; Bayesian econometrics; half-life; breakpoints; inflation modelling; Frequentist econometrics. (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (3)

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Working Paper: Inflation Persistence: Revisited (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:ids:ijmefi:v:9:y:2016:i:1:p:25-44

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