Inflation Persistence: Facts or Artefacts?
By C. R. Marques. Social Science Research Network, 2004
182 citations recorded by the source corpus.
This paper addresses some issues concerning the definition and measurement of inflation persistence in the context of the univariate approach. First, it is stressed that any estimate of persistence should be seen as conditional on the given assumption for the long run level of inflation and that such long run level should be allowed to vary through time. Second, a non-parametric measure of persistence is suggested which explores the relation between persistence and mean reversion. Third, inflation persistence in the U.S. and the Euro Area is re-evaluated allowing for a time varying mean and it is found that estimates of persistence crucially depend on the function used to proxy the mean of inflation. In particular, the widespread belief that inflation has been more persistent in the sixties and seventies than in the last twenty years is shown to obtain only for the U.S. and for the special case of a constant mean.
Subfields: Economics and Econometrics
View Paper: https://www.semanticscholar.org/paper/52e1ae5db55f87c1e5e9cbb57c9ca7a57587d1e6
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Citations in the corpus
- The Role of Real Wage Rigidity and Labor Market Frictions for Unemployment and Inflation Dynamics (2005, unknown): “3 (2004) and Marques (2004) provide evidence that euro area inflation rates are fairly persistent.4 The failure of the New Keynesian model to generate the appropriate degree of inflation persistence can be caused by several reasons.”
- Optimal Central Bank Transparency (2008, unknown): “Source : The Global Competitiveness Report, World Economic Forum report 2000 (series 11.08), 2001 – 2002, 2002 – 2003 and 2003 – 2004 (all Transparency levels that are not observed are indicated with - ’ s.”
- On Target? the International Experience with Achieving Inflation Targets (2005, methodology): “11 The measure is inspired by and very closely related to the persistence measure developed by Marques (2004). The measure of persistence used in this paper is equivalent to T/(n+1) compared with Marques’s measure of persistence: 1 n T γ = − , where T is the number of observations and n is the numbe”
- Has the Inflation Process Changed (2006, unknown): “7 We have done a full set of exactly analogous computations based on the AR(1) coefficient and, using an alternative measure of persistence, we identify the structural breaks as before, but then calculate the number of times the inflation process crosses its mean, as suggested by Robalo Marques (200”