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Author : Giorgio Canarella
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (96 download)
Download or read book Inflation Persistence and Structural Breaks written by Giorgio Canarella and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Inflation Persistence, Structural Breaks and Omitted Variables: a Critical View written by and published by . This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent empirical contributions assess time changes in inflation persistence by means of simple autoregressive models. Their reliability is discussed in the light of the econometric literature on model misspecification and it is showed that their results can be misleading due to the omission of relevant variables.
Author : Yunjong Eo
Publisher :
ISBN 13 :
Total Pages : 33 pages
Book Rating : 4.:/5 (13 download)
Download or read book Structural Changes in Inflation Dynamics written by Yunjong Eo and published by . This book was released on 2015 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: I make inferences about complicated patterns of structural breaks in inflation dynamics. I extend Chib's (1998) approach by allowing multiple parameters such as the unconditional mean, a group of persistence parameters, and/or the residual variance to undergo mutually independent structural breaks at different dates with the different number of breaks. Structural breaks are modeled as abrupt changes to identify potential regime shifts in economic structure such as a long-run inflation target, monetary policy, and price-setting behavior. I consider postwar quarterly U.S. inflation rates based on the CPI and the GDP deflator over the period from 1953:Q1 to 2013:Q4. I find that two inflation measures had distinct structural changes in different parameters as well as at different dates using Bayesian model selection procedures. CPI inflation experienced a dramatic drop in persistence around the early 1980s, but GDP deflator inflation is still persistent. In addition, the residual variance for both inflation measures switched from a low volatility regime to a high volatility regime in the early 1970s, but it returned to another low volatility regime at different dates: the early 1980s for GDP deflator inflation and the early 1990s for CPI inflation. The residual variance for CPI inflation has increased again since the early 2000s, while GDP deflator inflation has remained less volatile. These volatility shifts are confirmed by the empirical results based on the unobserved components model with stochastic volatility. However, I do not find evidence of a structural shift in the unconditional mean. When reviewing the recent literature, considerable controversy exists over the structural break in inflation persistence around the early 1980s but this appears to be dependent on the measures of inflation, as highlighted by the empirical findings in this paper.
Author : Uwe Hassler
Publisher :
ISBN 13 :
Total Pages : 56 pages
Book Rating : 4.:/5 (13 download)
Download or read book Detecting Multiple Breaks in Long Memory written by Uwe Hassler and published by . This book was released on 2016 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: Multiple structural change tests by Bei and Perron (1998) are applied to the regression by Demetrescu, Kuzin and Hassler (2008) in order to detect breaks in the order of fractional integration. With this instrument we tackle time-varying inflation persistence as an important issue for monetary policy. We determine not only the location and significance of breaks in persistence, but also the number of breaks. Only one significant break in U.S. inflation persistence (measured by the long-memory parameter) is found to have taken place in 1973, while a second break in 1980 is not significant.
Author :
Publisher :
ISBN 13 :
Total Pages : 280 pages
Book Rating : 4.:/5 (43 download)
Download or read book Freymütige und bescheidene Erinnerungen written by and published by . This book was released on 1745 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : George Hondroyiannis
Publisher :
ISBN 13 :
Total Pages : 42 pages
Book Rating : 4.:/5 (177 download)
Download or read book Inflation Persistence During Periods of Structural Change written by George Hondroyiannis and published by . This book was released on 2004 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Guglielmo Maria Caporale
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (119 download)
Download or read book Inflation in the G7 Countries written by Guglielmo Maria Caporale and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines long-range dependence in the inflation rates of the G7 countries by estimating their (fractional) order of integration d over the sample period January 1973 - March 2020. The results indicate that the series are very persistent, the estimated value of d being equal to or higher than 1 in all cases. Possible non-linearities in the form of Chebyshev polynomials in time are ruled out. Endogenous break tests are then carried out, and the degree of integration is estimated for each of the subsamples corresponding to the detected break dates. Significant differences are found between subsamples and countries in terms of the estimated degree of integration of the series.
Author : Peter Tillmann
Publisher :
ISBN 13 :
Total Pages : 29 pages
Book Rating : 4.:/5 (887 download)
Download or read book The Changing Dynamics of US Inflation Persistence written by Peter Tillmann and published by . This book was released on 2014 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : G. Hondroyiannis
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Inflation Persistence During Periods of Structural Change written by G. Hondroyiannis and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper estimates inflation persistence in Greece from 1975 to 2003, a period of high variation in inflation and changes in policy regimes. Three empirical methodologies, univariate autoregressive (AR) modelling, second-generation random coefficient (RC) modelling, and vector autoregressive (VAR) modelling, are employed to estimate inflation persistence. The empirical results from all the procedures suggest that inflation persistence was high during the inflationary period and the first six years of the disinflationary period, while it started to decline after 1997, when inflationary expectations seem to have been stabilised, and thus, monetary policy was effective at reducing inflation. Empirical findings also detect a sluggish response of inflation to changes in monetary policy. This observed delay seems to have changed little over time.
Author : Giorgio Canarella
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Inflation Persistence Before and After Inflation Targeting written by Giorgio Canarella and published by . This book was released on 2016 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the empirics of the persistence in the inflation series for 13 OECD countries that use an inflation targeting regime. We estimate persistence in the pre- and post-targeting periods using the fractional integration framework suggested by Kim and Phillips (2006, 2000) and Phillips (2007). We find that (i) inflation exhibits a fractional behavior over the entire sample period and, in most cases, in the pre- and post-targeting periods, (ii) the adoption of inflation targeting represents a structural break in all the inflation series, (iii) significant variations and asymmetries exist in inflation persistence across the inflation targeting countries, (iv) about half of the countries in the sample persistence experience significantly lower persistence in the inflation targeting period, (v) in the inflation targeting period all inflation series exhibit mean reversion, and (vi) for one country, South Africa, persistence increases after the adoption of inflation targeting.
Author : Robert-Paul Berben
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (92 download)
Download or read book Inflation Persistence in Structural Macroeconomic Models (RG10) written by Robert-Paul Berben and published by . This book was released on 2005 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Issam Malki
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (111 download)
Download or read book A Structural Breaks Approach to Modelling United States Inflation written by Issam Malki and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Bill Russell
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (931 download)
Download or read book Arch and Structural Breaks in United States Inflation written by Bill Russell and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : David E. Rapach
Publisher : Emerald Group Publishing
ISBN 13 : 044452942X
Total Pages : 691 pages
Book Rating : 4.4/5 (445 download)
Download or read book Forecasting in the Presence of Structural Breaks and Model Uncertainty written by David E. Rapach and published by Emerald Group Publishing. This book was released on 2008-02-29 with total page 691 pages. Available in PDF, EPUB and Kindle. Book excerpt: Forecasting in the presence of structural breaks and model uncertainty are active areas of research with implications for practical problems in forecasting. This book addresses forecasting variables from both Macroeconomics and Finance, and considers various methods of dealing with model instability and model uncertainty when forming forecasts.
Author : Namwon Hyung
Publisher :
ISBN 13 :
Total Pages : 30 pages
Book Rating : 4.:/5 (671 download)
Download or read book Structural Breaks and Long Memory in US Inflation Rates written by Namwon Hyung and published by . This book was released on 2001 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Robert-Paul Berben
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.:/5 (179 download)
Download or read book Inflation Persistence in Structural Macroeconomic Models (RGIO) written by Robert-Paul Berben and published by . This book was released on 2005 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Maarten Dossche
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.:/5 (181 download)
Download or read book Measuring Inflation Persistence written by Maarten Dossche and published by . This book was released on 2005 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
