Is Inflation Persistence Intrinsic in Industrial Economies?

61 Pages Posted: 29 Jul 2004

See all articles by Andrew T. Levin

Andrew T. Levin

affiliation not provided to SSRN

Jeremy Piger

University of Oregon - Department of Economics

Date Written: May 2003

Abstract

We apply both classical and Bayesian econometric methods to characterize the dynamic behavior of inflation for twelve industrial countries over the period 1984-2003, using four different price indices for each country. In particular, we estimate a univariate autoregressive (AR) model for each series, and consider the possibility of a structural break at an unknown date. For many of these countries, we find strong evidence for a break in the intercept of the AR equation in the late 1980s or early 1990s. Allowing for a break in intercept, the inflation measures generally exhibit relatively low inflation persistence. Evidently, high inflation persistence is not an inherent characteristic of industrial economies.

Keywords: Inflation dynamics, Bayesian econometrics, largest autoregressive root

JEL Classification: C11, C22, E31

Suggested Citation

Levin, Andrew and Piger, Jeremy M., Is Inflation Persistence Intrinsic in Industrial Economies? (May 2003). Available at SSRN: https://ssrn.com/abstract=384584

Andrew Levin

affiliation not provided to SSRN

Jeremy M. Piger (Contact Author)

University of Oregon - Department of Economics ( email )

Eugene, OR 97403
United States

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