Is Inflation Persistence Over?

Abstract

We analyze inflation persistence in several industrial and emerging countries in the recent past by implementing unit root tests in the presence of unknown structural breaks and by estimating reduced-form models of inflation dynamics. We select a very representative group of 23 industrial and 17 emerging economies. Our sample period is comprised of quarterly data and differs for each country. Our results indicate that inflation persistence is decreasing over time for the great majority of industrial economies. Many emerging economies, however, show increasing persistence and even a few have highly persistent inflationary processes. We also observe structural breaks in all inflation processes we study with the exception of the inflation processes of Germany and Austria. Our results are robust to different reduced forms of the inflation processes and different econometric techniques. Analisamos a persistência da inflação em vários países industriais e emergentes no passado recente, por meio da implementação de testes de raiz unitária na presença de quebras estruturais desconhecidas e por

Asymmetric Dynamics of Inflation Inertia in Non-Eurozone European Countries

“…As it is known that unit root tests depend on time series models where variables are modeled with their own lag, it can be said that the agreed approach in this study is reduced-form approach according to the classification of Pratap, Singh and Kurien (2021). There are many studies in the literature that analyzes the inflation persistence with unit root tests (e.g., Novaes 1993;Gottschalk 2003;Özcan et al 2004;Roache 2014;Oliveira and Petrassi 2014). Among these studies, especially Gottschalk (2003) and Oliveira and Petrassi (2014) draw attention on non-linear dynamics and utilized non-linear unit root tests.…”

Persistência e Volatilidade do Gap da Inflação

“…Contudo, atenção é dada na literatura à questão da persistência inflacionária. Nessa linha, medidas de persistência baseadas em modelos autorregressivos univariados têm sido propostas, bem como olhares sobre coeficientes de inflação passados estimados em alguma especificação da Curva de Phillips e por meio da implementação de testes de raiz unitária (Laurini 2013;Oliveira e Petrassi 2014). Ainda podemos citar a persistência inflacionária sendo investigada por meio de modelo multivariado de componentes não-observados (Machado e Portugal 2014).…”