On the Relationship between Inflation Persistence and Temporal Aggregation

Ivan Paya (), Agustin Duarte and Ken Holden

Journal of Money, Credit and Banking, 2007, vol. 39, issue 6, 1521-1531

Abstract: This paper examines the impact of temporal aggregation on alternative definitions of inflation persistence. Using the CPI and the core PCE deflator of the United States, our results show that temporal aggregation from the monthly to the quarterly to the annual frequency induces persistence in the inflation series.

Date: 2007
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https://doi.org/10.1111/j.1538-4616.2007.00077.x

Related works:
Journal Article: On the Relationship between Inflation Persistence and Temporal Aggregation (2007)
Working Paper: On the relationship between inflation persistence and temporal aggregation (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:wly:jmoncb:v:39:y:2007:i:6:p:1521-1531

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