Dynamics of persistence in international inflation rates

Manmohan S. Kumar, Tatsuyoshi Okimoto

Research output: Contribution to journalArticlepeer-review

66 Citations (Scopus)

Abstract

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.

Original languageEnglish
Pages (from-to)1457-1479
Number of pages23
JournalJournal of Money, Credit and Banking
Volume39
Issue number6
DOIs
Publication statusPublished - 2007 Sep
Externally publishedYes

Keywords

  • Fractional integration
  • Inflation persistence
  • Long memory
  • Rolling window estimation

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Economics and Econometrics

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