Euro area inflation persistence

Batini, Nicoletta

doi:10.1007/s00181-006-0064-7

Cited by 76 publications

(95 citation statements)

References 61 publications

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“…Furthermore, we find that inflation persistence has decreased, and in several cases, the most prominent stationary period (to be defined below) is found towards the end of the sample. We also find that, in many cases, the level of inflation 7 Using different techniques and definitions of persistence, this stylized fact arises from results in Pivetta and Reis (2006) for the US over 1947, O'Reilly and Whelan (2004 for the Euro-area (1970s onwards), Gadea and Mayoral (2006), for 21 OECD countries , Batini (2002) for the Euro Area and individual European countries (1970s onwards), and Batini and Nelson (2002) for the UK andUS over 1953-2001. 8 Using models with time varying parameters, several authors suggest that inflation persistence has diminished along with its overall level.…”

Section: Introductionmentioning

confidence: 82%

“…This is the case of Bolivia (1982)(1983)(1984)(1985), Ecuador (1980Ecuador ( -1982Ecuador ( , 2000Ecuador ( -2003, Honduras (1990Honduras ( -1993, Uruguay (1994-1998), and Venezuela (1960-1961, 1973-1975, 1979-1981. The last group consists of economies in which shocks had longer-term effects, inducing I(1) behavior on inflation along periods of several years: Argentina (1975Argentina ( -1994, Brazil (1983Brazil ( -1996, Chile (1972Chile ( -1980, Mexico (1982-2002), and Peru (1982-1996. 22 Table 7 in Section 5 summarizes these results; as can be seen, 10 out of 14 cases (71% of LA countries in our sample) experienced persistence changes.…”

Section: Latin Americamentioning

confidence: 99%

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On the dynamics of inflation persistence around the world

2012

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in Banco de MéxicoAbstract 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. Keywords: Inflation, Multiple persistence change, Stationarity, Unit root tests, Unknown direction of change, Monetary policy. JEL Classification: C12, C22, E31, E52, E58Resumen Estudiamos la dinámica de la persistencia de la inflación en 45 países para el periodo 1960-2008. Utilizamos inicialmente una prueba no paramétrica de raíz unitaria robusta a muchas de las características típicas de los datos de inflación: no linealidades, distribución de los errores, cambios estructurales y observaciones atípicas. En seguida utilizamos una prueba de cambios múltiples en persistencia, que descompone la información muestral en periodos adyacentes I(0) e I(1). Encontramos que (1) Con muy pocas excepciones, la inflación alrededor del mundo rechaza la presencia de una raíz unitaria, (2) Para varios países existe evidencia de cambios significativos en persistencia, (3) Estallidos y caídas en el nivel y en la persistencia de la inflación tienden a coincidir, (4) Estas caídas ocurrieron durante "la Gran Moderación" y durante la adopción del esquema de objetivos de inflación. Concluimos que la inflación se caracteriza por tener un comportamiento ya sea estacionario a lo largo de la muestra, o por observar cambios del tipo I(0)-I(1)-I(0). Para todos los países en nuestra muestra, cualquier indicación de no estacionariedad parece ser temporal. Palabras Clave: Inflación, Cambios múltiples en persistencia, Estacionariedad, Pruebas de raíz unitaria, Direcció...

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Section: Introductionmentioning

confidence: 82%

Section: Latin Americamentioning

confidence: 99%

On the dynamics of inflation persistence around the world

2012

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“…Batini (2002) and Kara and Nelson (2002) also use similar definitions. Accordingly, type I inflation persistence is estimated using autocorrelation coefficient of price inflation process and different specifications of Phillips curve.…”

Section: B Methodologymentioning

confidence: 99%

“…Therefore, this study will use all three measures of money supply and short term real interest rate in order to examine type II inflation persistence. A review of previous work on measuring type II inflation persistence provides no evidence of a commonly agreed measure to estimate inflation persistence and also there is no appropriate statistic (Batini, 2002). Therefore, examining with several policy measures would provide fuller description of data and strengthen the analysis.…”

Section: (I) Correlations Between Monetary Policy Measures and Cpi Inmentioning

confidence: 99%