Inflation Persistence in Inflation and Non-Inflation Targeting Countries: A Rolling Window, Fractional Integration Approach

2014 ◽  
Author(s):  
Giorgio Canarella ◽  
Stephen M. Miller
Keyword(s):  
Inflation Targeting ◽  
Fractional Integration ◽  
Inflation Persistence ◽  
Integration Approach ◽  
Rolling Window

On the persistence of prices in Mexico: a fractional integration approach

2017 ◽  
Vol 49 (60) ◽  
pp. 6014-6023
Author(s):  
Daniel Ventosa-Santaulària ◽  
Manuel Gómez-Zaldívar ◽  
Pedro Chávez
Keyword(s):  
Fractional Integration ◽  
Integration Approach

Has Inflation Persistence Changed under EMU?

2012 ◽  
Vol 13 (1) ◽  
pp. 86-102 ◽  
Author(s):  
Peter Tillmann
Keyword(s):  
European Monetary Union ◽  
New Keynesian ◽  
European Monetary ◽  
Price Inflation ◽  
Inflation Persistence ◽  
European Central ◽  
Persistence Properties ◽  
Keynesian Model ◽  
Rolling Window ◽  
Policy Mandate

Abstract This paper analyzes the persistence of inflation in the euro area and, in particular, whether the persistence properties have changed since the start of European Monetary Union(EMU). For that purpose, we compare pre- and post-EMU inflation persistence, use rolling-window estimates of persistence, and apply tests specifically designed to detect break dates near the end of the sample period. In contrast to previous research, we find that inflation persistence has fallen significantly since the start of EMU. Persistence of consumer price inflation, which is central to the European Central Bank’s policy mandate, has fallen more than the persistence of deflator inflation. The drop in inflation persistence is consistent with the results from a simulated small New Keynesian model with a shift toward a more aggressive monetary policy stance.

scholarly journals Inflation Targeting and Inflation Persistence

2015 ◽  
Vol 3 (1) ◽  
pp. 3-17 ◽  
Author(s):  
George J. Bratsiotis ◽  
Jakob Madsen ◽  
Christopher Martin
Keyword(s):  
Inflation Targeting ◽  
Inflation Persistence
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