EconPapers    
Economics at your fingertips  
 

US inflation dynamics on long range data

Vasilios Plakandaras (), Periklis Gogas (), Rangan Gupta () and Theophilos Papadimitriou ()

No 12-2014, DUTH Research Papers in Economics from Democritus University of Thrace, Department of Economics

Abstract: In this paper we evaluate inflation persistence in the U.S. using long range monthly and annual data. The importance of inflation persistence is crucial to policy authorities and market participants, since the level of inflation persistence provides an indication on the susceptibility of the economy to exogenous shocks. Departing from classic econometric approaches found in the relevant literature, we evaluate inflation persistence through the nonparametric Hurst exponent within both a global and a rolling window framework. Moreover, we expand our analysis to detect the potential existence of chaos in the data generating process, in order to enhance the robustness of our conclusions. Overall, we find that inflation persistence is high from 1775 to 2013 for the annual dataset and from February 1876 to May 2014 in monthly frequency, respectively. Especially from the monthly dataset, the rolling window approach allows us to derive that inflation persistence has reached to historically high levels in the post Bretton Woods period and remained there ever since.

Keywords: Inflation; Persistence; Hurst exponent; Detrended Fluctuation Analysis; Lyapunov exponent (search for similar items in EconPapers)
JEL-codes: C14 E31 E60 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
Date: 2015-01-29
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://utopia.duth.gr/~vplakand/US%20inflation%20d ... %20long-run%20WP.pdf Full text (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found

Related works:
Journal Article: US inflation dynamics on long-range data (2015) Downloads
Working Paper: US Inflation Dynamics on Long Range Data (2014)
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:ris:duthrp:2014_012

Access Statistics for this paper

More papers in DUTH Research Papers in Economics from Democritus University of Thrace, Department of Economics Department of Economics, University Campus, Komotini, 69100, Greece. Contact information at EDIRC.
Bibliographic data for series maintained by Periklis Gogas (). This e-mail address is bad, please contact .

 
Page updated 2019-10-11
Handle: RePEc:ris:duthrp:2014_012