Changements Structurels dans la Dynamique de l'Inflation aux États-Unis: Approches Non Paramétriques

Ibrahim Ahamada () and Mohamed Ben Aissa ()
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Ibrahim Ahamada: EUREQUA - Equipe Universitaire de Recherche en Economie Quantitative - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique

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Abstract: This paper re-examines the infl ation dynamics in the United States by using two methods of analysis of data fluctuation. Our aim is to detect the various of change points in the inflationary process. The two used approaches are non-parametric and do not privilege a priori any modeling. The fi rst method is based on the stability of the spectral density of the data (PRIESTLEY [1965] and [1996]). The second approach calls upon an iterative algorithm proposed by INCLAN and TIAO [1994]. Our obtained results seem to be very signifi cant since the two approaches detect almost the same dates of structural change points. They also indicate that the infl ation process considerably changed since the end of the Second World War. These structural breaks are characterized by movements of midium and short term in the year 1975 and of long term started since the year 1981. We observe some stabilization since the year 1981 in spite of momentary disturbances in 1990.

Keywords: Changements structurels; politiques monétaires (search for similar items in EconPapers)
Date: 2005
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Published in Annales d'Economie et de Statistique, 2005, 77, pp.187-199. ⟨10.2307/20079120⟩

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Journal Article: Changements Structurels dans la Dynamique de l'Inflation aux Etats-Unis: Approches Non Paramétriques (2005)
Working Paper: Changements Structurels dans la Dynamique de l'Inflation aux États-Unis: Approches Non Paramétriques (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00272864

DOI: 10.2307/20079120

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