TY - JOUR
T1 - Dynamics of persistence in international inflation rates
AU - Kumar, Manmohan S.
AU - Okimoto, Tatsuyoshi
N1 - Funding Information:
We thank Ewen Cameron for herbarium assistance and comments on various aspects of the North Cape flora; Fred Brook for a discussion on the geology of North Cape; Warwick Silvester for clarification of the collection details of CANU 9678; Rhys Gardner, Michael Heads, and Elizabeth Edgar for assistance with the Latin diagnosis; Linda Winch for field assistance; Francis Fitzpatrick for comments on wild animal control; Graeme Brierly for Fig. 1; Catherine Beard for drawing Fig. 2; and Trevor Bullock of the Northland Conservancy, Department of Conservation, for facilitating permits and access to North Cape Scientific Reserve. Ewen Cameron, Gillian Crowcroft, Elizabeth Edgar, Rhys Gardner, and Brian Molloy kindly reviewed the paper. We acknowledge comments made by overseas referee Konraed Camelbeke. Funds for this research were provided to Peter de Lange by the Department of Conservation, Science & Research Division, Investigation 1262, and Peter Heenan by the Foundation for Research, Science and Technology under contract C09310.
PY - 2007/9
Y1 - 2007/9
N2 - Characteristics of inflation play a key role in policy formulation and market analysis. Several studies have analyzed inflation persistence and reached diverging conclusions. In this paper, we investigate the dynamics of inflation persistence using fractionally integrated processes and find that there has been a clear decline in inflation persistence in the United States over the past two decades. We also show that the presence of fractional integration in inflation successfully explains previous diverging results. Lastly, we provide some international comparisons to examine the extent to which there has been a commensurate decline in inflation persistence in the other G7 economies.
AB - Characteristics of inflation play a key role in policy formulation and market analysis. Several studies have analyzed inflation persistence and reached diverging conclusions. In this paper, we investigate the dynamics of inflation persistence using fractionally integrated processes and find that there has been a clear decline in inflation persistence in the United States over the past two decades. We also show that the presence of fractional integration in inflation successfully explains previous diverging results. Lastly, we provide some international comparisons to examine the extent to which there has been a commensurate decline in inflation persistence in the other G7 economies.
KW - Fractional integration
KW - Inflation persistence
KW - Long memory
KW - Rolling window estimation
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U2 - 10.1111/j.1538-4616.2007.00074.x
DO - 10.1111/j.1538-4616.2007.00074.x
M3 - Article
AN - SCOPUS:34548364197
SN - 0022-2879
VL - 39
SP - 1457
EP - 1479
JO - Journal of Money, Credit and Banking
JF - Journal of Money, Credit and Banking
IS - 6
ER -