Inflation persistence in the euro-area, US, and new members of the EU: Evidence from time-varying coefficient models

Zsolt Darvas and Balázs Varga
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Balázs Varga: Corvinus University of Budapest

No 137, Money Macro and Finance (MMF) Research Group Conference 2006 from Money Macro and Finance Research Group

Abstract: This paper studies inflation persistence with time-varying-coefficient autoregressions in response to recently discovered structural breaks in historical inflation time series of the euro-area and the US. To this end, we compare the statistical properties of the well known ML estimation using the Kalman-filter and the less known Flexible Least Squares estimator by Monte Carlo simulation. We also suggest a procedure for selecting the weight for FLS based on an iterative Monte Carlo simulation technique calibrated to the time series in question. We apply the methods for the study of inflation persistence of the US, the euro-area and the new members of the EU

Keywords: flexible least squares; inflation persistence; Kalman-filter; time-varying coefficient models (search for similar items in EconPapers)
JEL-codes: C22 E31 (search for similar items in EconPapers)
Date: 2007-02-02
New Economics Papers: this item is included in nep-cba, nep-ecm, nep-eec, nep-mac and nep-mon
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Citations: View citations in EconPapers (1)

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http://www.uni-corvinus.hu/darvas/pdf/Darvas_Varga_PERSIST_paper.pdf main text (application/pdf)
http://repec.org/mmf2006/up.21061.1145742414.pdf (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:mmf:mmfc06:137

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