Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/83718
Authors: 
Noriega, Antonio E.
Ramos-Francia, Manuel
Year of Publication: 
2009
Series/Report no.: 
Working Papers, Banco de México 2009-02
Abstract: 
We study the dynamics of inflation persistence in 45 countries for the period 1960-2008. We use a nonparametric unit root test robust to nonlinearities, error distributions, structural breaks and outliers, many of them typical features of inflation data, and a test for multiple changes in persistence, which decomposes the sample information between adjacent I(0) and I(1) periods. We find that (1) With very few exceptions, inflation around the world rejects a unit root, (2) for several countries there is evidence of significant changes in persistence, (3) bursts and drops in the level of inflation and in inflation persistence tend to coincide, (4) these drops occurred during 'the Great Moderation' and during the adoption of inflation targeting. We conclude that inflation is characterized by either a stationary behaviour throughout the sample, or by switches of the type I(0)-I(1)-I(0). For all countries in our sample, any indication of nonstationarity seems to be temporary.
Subjects: 
Inflation
Multiple persistence change
Stationarity
Unit root tests
Unknown direction of change
Monetary policy
JEL: 
C12
C22
E31
E52
E58
Document Type: 
Working Paper
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