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Erscheinungsjahr: 
2004
Schriftenreihe/Nr.: 
ECB Working Paper No. 334
Verlag: 
European Central Bank (ECB), Frankfurt a. M.
Zusammenfassung: 
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.
Schlagwörter: 
Bayesian econometrics
Inflation Dynamics
largest autoregressive root
JEL: 
C11
C22
E31
Dokumentart: 
Working Paper

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