Has the Inflation Process Changed?

Cecchetti, Stephen G.; Debelle, Guy

doi:10.2139/ssrn.860385

Cited by 63 publications

(112 citation statements)

References 46 publications

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“…Debelle and Wilkinson (2002) find that inflation persistence has declined in Australia and New Zealand, but has risen in the United Kingdom and the United States. Cecchetti and Debelle (2006) report only weak evidence of a decline in inflation persistence in recent years, even after allowing for a break in the mean of inflation.…”

Section: Thus Implicitly the Findings In Oecdmentioning

confidence: 94%

Globalisation and OECD consumer price inflation

Pain¹,

Koske²,

Sollie³

2008

OECD Journal: Economic Studies

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Over the past 25 years inflation has moderated considerably in all OECD economies. At the same time, the production of many goods and services has become increasingly internationalised and the level of trade between the OECD and non-OECD economies has risen markedly. This paper investigates the extent to which the observed changes in the inflation process can be attributed to the increasing integration of non-OECD economies into the global economy. The results of the analysis show that i) import prices have become a more important driver of domestic consumer prices since the mid-1990s; ii) the sensitivity of inflation to domestic economic conditions has declined whereas the sensitivity to foreign economic conditions has risen, working through import prices; and iii) the strong GDP growth in the non-OECD economies over the past five years has contributed to the growth of real oil and metals prices. A scenario analysis shows that globalisation has put upward pressure on inflation via higher commodity prices and downward pressure via lower non-commodity import prices with the latter effect having dominated in most OECD economies.

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Section: Thus Implicitly the Findings In Oecdmentioning

confidence: 94%

Globalisation and OECD consumer price inflation

Pain¹,

Koske²,

Sollie³

2008

OECD Journal: Economic Studies

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“…In empirical studies employing univariate methods (see, e.g., Cecchetti and Debelle (2006)), in ‡ation has invariably been found highly persistent, and this persistence has typically been interpreted as dependence on past in ‡ation in forming expectations and, hence, as evidence against the NKPC. Also, Whelan (2005a, 2007), and Nason and Smith (2008a), inter alia, have found little evidence of forward-looking in ‡ation dynamics in analyses based on estimated NKPCs for the U.S. On the other hand, the recent results of Lanne and Saikkonen (2011a) and Lanne et al (2011) based on so-called noncausal autoregressive (AR) models suggest that the persistence in the U.S. in ‡ation results from agents'forward-looking behavior rather than dependence on past in ‡ation.…”

Section: Introductionmentioning

confidence: 99%

Autoregression-based estimation of the new Keynesian Phillips curve

Lanne¹,

Luoto²

2013

Journal of Economic Dynamics and Control

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We propose an estimation method of the new Keynesian Phillips curve (NKPC) based on a univariate noncausal autoregressive model for the inflation rate. By construction, our approach avoids a number of problems related to the GMM estimation of the NKPC. We estimate the hybrid NKPC with quarterly U.S. data (1955:1--2010:3), and both expected future inflation and lagged inflation are found important in determining the inflation rate, with the former clearly dominating. Moreover, inflation persistence turns out to be intrinsic rather than inherited from a persistent driving process.JEL Classification: C22, C51, E31

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“…Second, structural breaks have been introduced into causal AR models for in ‡ation. Levin and Piger (2003), and Cecchetti and Debelle (2006) have shown that if breaks in the intercept of a causal AR model are neglected, in ‡ation may spuriously apper too persistent. Third, Kumar and Okimoto (2007) and Hassler and Meller (2011) Fuhrer (2010) Before 1983, shocks are absorbed more slowly when the in ‡ation rate is high, whereas the case seems to be the opposite in the more recent subsample period, potentially suggesting that monetary policy aimed at keeping in ‡ation under control has become more aggressive.…”

Section: Introductionmentioning

confidence: 99%

Noncausality and inflation persistence

Lanne

2014

Studies in Nonlinear Dynamics &Amp; Econometrics

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Has the Inflation Process Changed?

Cited by 63 publications

References 46 publications

Globalisation and OECD consumer price inflation

Globalisation and OECD consumer price inflation

Autoregression-based estimation of the new Keynesian Phillips curve

Noncausality and inflation persistence

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