Inflation persistence: revisited
by Edward N. Gamber; Jeffrey P. Liebner; Julie K. Smith
International Journal of Monetary Economics and Finance (IJMEF), Vol. 9, No. 1, 2016

Abstract: This paper presents evidence on the persistence of inflation in the USA over the period 1949-2014. Of particular interest is whether the persistence of inflation has changed over that time period. We use a reduced form approach to measuring inflation persistence, modelling inflation as an autoregressive process. We measure persistence as the half-life of a shock to that process. Our analysis employs both a Frequentist approach and a Bayesian approach to identify breaks in inflation persistence. Both our Frequentist and Bayesian results indicate that inflation persistence has undergone significant changes over the past 60 years.

Online publication date: Sat, 06-Feb-2016

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