Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/83726
Authors: 
Noriega, Antonio E.
Ramos-Francia, Manuel
Year of Publication: 
2008
Series/Report no.: 
Working Papers, Banco de México 2008-12
Abstract: 
Empirical research on the degree and stability of inflation persistence in the US has produced mixed results: some suggest high and unchanged persistence during the last few decades, while others argue in favor of a decline in persistence since the early 1980s. We contribute to this debate by applying a test specifically designed to test for multiple changes in persistence, allowing for consistent estimation of the possible change dates, and robust to level breaks. We show that post-WWII US inflation (monthly and quarterly) became highly persistent during the 'Great Inflation'period, and then switched back to a low persistence process during 1984, and has remained stationary until the present day.
Subjects: 
Inflation
Multiple change in persistence
Stationarity
Great inflation
JEL: 
C12
C22
E31
E52
Document Type: 
Working Paper
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