On the persistence of UK inflation: A long‐range dependence approach

Guglielmo Maria Caporale, Luis Alberiko Gil‐Alana and Tommaso Trani
Authors registered in the RePEc Author Service: Luis Alberiko Gil-Alana

International Journal of Finance & Economics, 2022, vol. 27, issue 1, 439-454

Abstract: This paper examines the degree of persistence in UK inflation by applying long‐memory methods to historical data that span the period from 1660 to 2016. Specifically, we use both parametric and non‐parametric fractional integration techniques, that are more general than those based on the classical I(0) vs. I(1) dichotomy. Further, we carry out break tests to detect any shifts in the degree of persistence, and also run rolling‐window and recursive regressions to investigate its evolution over time. On the whole, the evidence suggests that the degree of persistence of UK inflation has been relatively stable following the Bretton Woods period, despite the adoption of different monetary regimes. The estimation of an unobserved‐components stochastic volatility model sheds further light on the issues of interest by showing that post‐Bretton Woods changes in UK inflation are attributable to a fall in the volatility of permanent shocks. The same type of analysis carried out for US inflation, for comparison purposes, leads to broadly similar conclusions.

Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1002/ijfe.2161

Related works:
Working Paper: On the Persistence of UK Inflation: A Long-Range Dependence Approach (2018)
Working Paper: On the Persistence of UK Inflation: A Long-Range Dependence Approach (2018)
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:wly:ijfiec:v:27:y:2022:i:1:p:439-454

Ordering information: This journal article can be ordered from
http://jws-edcv.wile ... PRINT_ISSN=1076-9307

Access Statistics for this article

International Journal of Finance & Economics is currently edited by Mark P. Taylor, Keith Cuthbertson and Michael P. Dooley

More articles in International Journal of Finance & Economics from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().