EconPapers    
Economics at your fingertips  
 

US inflation dynamics on long-range data

Vasilios Plakandaras (), Periklis Gogas (), Rangan Gupta () and Theophilos Papadimitriou ()

Applied Economics, 2015, vol. 47, issue 36, 3874-3890

Abstract: In this article, we evaluate inflation persistence in the United States using long-range monthly and annual data. The importance of inflation persistence is crucial to policy authorities and market participants, since the level of inflation persistence provides an indication on the susceptibility of the economy to exogenous shocks. Departing from classic econometric approaches found in the relevant literature, we evaluate inflation persistence through the nonparametric Hurst exponent within both a global and a rolling window framework. Moreover, we expand our analysis to detect the potential existence of chaos in the data generating process, in order to enhance the robustness of our conclusions. Overall, we find that inflation persistence is high from 1775 to 2013 for the annual data-set and from February 1876 to May 2014 in monthly frequency, respectively. Especially from the monthly data-set, the rolling window approach allows us to derive that inflation persistence has reached to historically high levels in the post-Bretton Woods period and remained there ever since.

Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6) Track citations by RSS feed

Downloads: (external link)
http://hdl.handle.net/10.1080/00036846.2015.1019039 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: US inflation dynamics on long range data (2015) Downloads
Working Paper: US Inflation Dynamics on Long Range Data (2014)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:applec:v:47:y:2015:i:36:p:3874-3890

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

More articles in Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

 
Page updated 2019-08-20
Handle: RePEc:taf:applec:v:47:y:2015:i:36:p:3874-3890