On the relationship between inflation persistence and temporal aggregation

Ivan Paya (i.paya@lancaster.ac.uk), A Duarte and K Holden

No 578936, Working Papers from Lancaster University Management School, Economics Department

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 US, our results show that temporal aggregation from the monthly to the quarterly to the annual frequency induces persistence in the inflation series.

Keywords: Aggregation; Inflation; Persistence (search for similar items in EconPapers)
Date: 2006
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http://www.lancaster.ac.uk/media/lancaster-univers ... ationPersistence.pdf (application/pdf)

Related works:
Journal Article: On the Relationship between Inflation Persistence and Temporal Aggregation (2007)
Journal Article: On the Relationship between Inflation Persistence and Temporal Aggregation (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:lan:wpaper:578936

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