Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/162492
Authors: 
Rinke, Saskia
Busch, Marie
Leschinski, Christian
Year of Publication: 
2017
Series/Report no.: 
Hannover Economic Papers (HEP) 584
Abstract: 
The persistence of inflation rates is of major importance to central banks due to the fact that it determines the costs of monetary policy according to the Phillips curve. This article is motivated by newly available econometric methods which allow for a consistent estimation of the persistence parameter under low frequency contaminations and consistent break point estimation under long memory without a priori assumptions on the presence of breaks. In contrast to previous studies, we allow for smooth trends in addition to breaks as a source of spurious long memory. We support the fi nding of reduced memory parameters in monthly inflation rates of the G7 countries as well as spurious long memory, except for the US. Nevertheless, only a few breaks can be located. Instead, all countries exhibit signi cant trends at the 5 percent level with the exception of the US.
Subjects: 
Spurious Long Memory
Breaks
Trends
Inflation
G7 countries
JEL: 
C13
E58
Document Type: 
Working Paper

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