Is Inflation Persistence Intrinsic in Industrial Economies?

By Andrew T. Levin, Jeremy Piger. Social Science Research Network, 2003

456 citations recorded by the source corpus.

We apply both classical and Bayesian econometric methods to characterize the dynamic behavior of inflation for twelve industrial countries over the period 1984-2003, using four different price indices for each country. In particular, we estimate a univariate autoregressive (AR) model for each series, and consider the possibility of a structural break at an unknown date. For many of these countries, we find strong evidence for a break in the intercept of the AR equation in the late 1980s or early 1990s. Allowing for a break in intercept, the inflation measures generally exhibit relatively low inflation persistence. Evidently, high inflation persistence is not an inherent characteristic of industrial economies.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/7a7e4f2bbc2c4cba2fa885648e8f31a15bb4c6e0

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

In Finance

Citations in the corpus

Efficient Bayesian Inference for Multiple Change-Point and Mixture Innovation Models (2008, methodology): “U.S. Inflation Several studies (see, e.g., Levin and Piger 2003) have suggested the presence of structural breaks in the mean of U.S. inflation.”
The Macroeconomic Effects of Inflation Targeting (2004, background): “…exhibits less persistence than that of a random walk; cf. Barsky (1987), Evans and Wachtel (1993), Fuhrer and Moore (1995), Brainard and Perry (2000), Taylor (2000), Cogley and Sargent (2002, 2003), Kim et al. (2001), Stock (2002), Pivetta and Reis (2001), Levin and Piger (2002), and Benati (2002).”
Euro Area Inflation Differentials (2007, unknown): “33 See e.g. Levin and Piger (2004).”
Price Setting and Inflation Persistence: Did Emu Matter? (2006, unknown): “This reasoning reminds of Levin and Piger (2004) and others, who have attributed inflation persistence to monetary policy regimes and to the associated expectations formation.”
Inflation Targeting and Inflation Behavior: A Successful Story? (2012, background): “Levin and Piger (2004), on the other hand, in a similar empirical framework with twelve industrial countries, allow for structural breaks and find that inflation, in general, exhibits low persistence.8 They also suggest that IT does not seem to have had a large impact on long-term expected…”
Monetary Policy Regime Shifts and Inflation Persistence (2009, unknown): “While Cecchetti and Debelle (2006), Clark (2006), Levin and Piger (2006), and Pivetta and Reis (2007) question the statistical significance of the decline in inflation persistence, Cogley et al. (2010) provide evidence for changes in inflationgap persistence using both univariate and multivariate…”
Euro Area Inflation Persistence in an Estimated Nonlinear DSGE Model (2008, unknown): “w (i) t = p(x (i) t |yot ,θ) q(x (i) t ) (26)”
Explicit Inflation Objectives and Macroeconomic Outcomes (2004, background): “…exhibits less persistence than that of a random walk; cf. Barsky (1987), Evans and Wachtel (1993), Fuhrer and Moore (1995), Brainard and Perry (2000), Taylor (2000), Cogley and Sargent (2001, 2003), Kim et al. (2001), Stock (2001), Pivetta and Reis (2001), Levin and Piger (2002), and Benati (2002).”
Globalization and global disinflation (2003, unknown): “Several cross-country empirical studies support this hypothesis.”