Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/71132
Authors: 
Lanne, Markku
Year of Publication: 
2013
Series/Report no.: 
DIW Discussion Papers 1286
Abstract: 
We use noncausal autoregressions to examine the persistence properties of quarterly U.S. consumer price inflation from 1970:1.2012:2. These nonlinear models capture the autocorrelation structure of the inflation series as accurately as their conventional causal counterparts, but they allow for persistence to depend on the size and sign of shocks to inflation as well as the inflation rate. Inflation persistence has decreased since the early 1980.s, after which persistence is also greater following small and negative shocks than large and positive ones. At high levels of inflation, shocks are absorbed more slowly before the early 1980.s and faster thereafter compared to low levels of inflation.
JEL: 
C22
C51
E31
Document Type: 
Working Paper

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