Transanal endoscopic microsurgery

Is the Euro-Area core price index really more persistent than the food and energy price indexes?

“…Maury and Tripier (2003) and Bouakez and Kano (2006) There are several definitions of persistence in the literature and they all share the concept that persistence is related to the speed of a variable's response to a shock (see, for example, Marques (2004)). In this paper, we adopt the definition proposed by Marques (2004) and Dias & Marques (2010) and define persistence as the speed with which a variable converges to its equilibrium after a shock. A variable is said to be the more (less) inertial the slower (faster) it converges (or returns) to its equilibrium after the occurrence of a stimulus.…”

“…Marques (2004) and Dias & Marques (2010) have suggested a non-parametric measure of persistence, , based on the relationship between persistence and mean reversion.…”

“…4 Authors have indeed proposed other alternative measures of persistence such as the largest autoregressive root, the spectrum at zero frequency, or the so-called half-life. For a technical appraisal of these other measures see, for instance, Marques (2004) and Dias & Marques (2010). where n stands for the number of times the series crosses the mean during a time interval with T + 1 observations. The ratio n/T gives the degree of mean reversion and  can be seen as the unconditional probability of a given series not crossing its mean in period t.…”

“…The papers of Levin and Piger (2003), Willis (2003), Gadzinsky and Orlandi (2004), Cogley and Sargent (2008), Altissimo et al (2006), Corvoisier and Mojon (2005), Piveta and Reis (2007), Marques (2004) and Dias & Marques (2010) are a few examples of the many important contributions to the literature on inflation persistence All of these papers compute persistence by estimating the sum of the autoregressive coefficients 1 using inflation data extracted from the aggregate private consumption, gross domestic product deflators, the consumer price index (for the USA) or the harmonized index of consumer prices (headline or overall, core, food and energy for the E.A.) time series.…”

“…reflects long-lasting instead of temporary price level movements, as is commonly believed. We measure the degree of persistence using a non-parametric methodology proposed by Marques (2004) and Dias & Marques (2010). This new measure of persistence is based upon the relationship between persistence and the concept of mean reversion and can be defined as the unconditional probability of a (either a stationary or a non-stationary) stochastic process not crossing its mean in time t.…”