Inflation Persistence during Periods of Structural Change: An Assessment Using Greek Data

George Hondroyiannis and Sophia Lazaretou ()

No 13, Working Papers from Bank of Greece

Abstract: The paper estimates inflation persistence in Greece from 1975 to 2003, a period of high variation in inflation and changes in policy regimes. Three empirical methodologies, univariate autoregressive (AR) modelling, second-generation random coefficient (RC) modelling, and vector autoregressive (VAR) modelling, are employed to estimate inflation persistence. The empirical results from all the procedures suggest that inflation persistence was high during the inflationary period and the first six years of the disinflationary period, while it started to decline after 1997, when inflationary expectations seem to have been stabilised, and thus, monetary policy was effective at reducing inflation. Empirical findings also detect a sluggish response of inflation to changes in monetary policy. This observed delay seems to have changed little over time.

Keywords: CPI inflation; persistence; structural change (search for similar items in EconPapers)
JEL-codes: E31 E37 (search for similar items in EconPapers)
Pages: 40 pages
Date: 2004-06
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (32)

Downloads: (external link)
http://www.bankofgreece.gr/BogEkdoseis/paper200413.pdf Full Text (application/pdf)
Our link check indicates that this URL is bad, the error code is: 403 Forbidden

Related works:
Journal Article: Inflation persistence during periods of structural change: an assessment using Greek data (2007)
Working Paper: Inflation persistence during periods of structural change: an assessment using Greek data (2004)
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:bog:wpaper:13

Access Statistics for this paper

More papers in Working Papers from Bank of Greece Contact information at EDIRC.
Bibliographic data for series maintained by Anastasios Rizos ().