Jump to ContentJump to Main Navigation
Show Summary Details
More options …

Studies in Nonlinear Dynamics & Econometrics

Ed. by Mizrach, Bruce

IMPACT FACTOR 2017: 0.855

CiteScore 2017: 0.76

SCImago Journal Rank (SJR) 2017: 0.668
Source Normalized Impact per Paper (SNIP) 2017: 0.894

Mathematical Citation Quotient (MCQ) 2017: 0.02

See all formats and pricing
More options …
Volume 19, Issue 4


Volume 23 (2019)

Noncausality and inflation persistence

Markku Lanne
  • Corresponding author
  • Department of Political and Economic Studies, University of Helsinki, P.O. Box 17 (Arkadiankatu 7), Helsinki 00014, Finland
  • Email
  • Other articles by this author:
  • De Gruyter OnlineGoogle Scholar
Published Online: 2014-11-26 | DOI: https://doi.org/10.1515/snde-2013-0108


We use noncausal autoregressions to examine the persistence properties of quarterly US consumer price inflation from 1970:1 to 2012:2. These nonlinear models capture the autocorrelation structure of the inflation series as accurately as their conventional causal counterparts, but they allow for persistence to depend on the size and sign of shocks to inflation as well as the inflation rate. Inflation persistence has decreased since the early 1980s, after which persistence is also greater following small and negative shocks than large and positive ones. At high levels of inflation, shocks are absorbed more slowly before the early 1980s and faster thereafter compared to low levels of inflation.

This article offers supplementary material which is provided at the end of the article.

Keywords: generalized impulse response function; inflation persistence; noncausal autoregression

JEL classification: C22; C51; E31


  • Aksoy, Y., A. Orphanides, D. Small, V. Wieland, and D. Wilcox. 2006. “A Quantitative Exploration of the Opportunistic Approach to Disinflation.” Journal of Monetary Economics 53: 1877–1893.CrossrefGoogle Scholar

  • Andrews, B., R. A. Davis, and F. J. Breidt. 2006. “Maximum Likelihood Estimation for All-Pass Time Series Models.” Journal of Multivariate Analysis 97: 1638–1659.CrossrefWeb of ScienceGoogle Scholar

  • Ball, L., and N. G. Mankiw. 1994. “Asymmetric Price Adjustment and Economic Fluctuations.” Economic Journal 104: 247–261.CrossrefGoogle Scholar

  • Benati, L. 2008. “Investigating Inflation Persistence across Monetary Regimes.” Quarterly Journal of Economics 123: 1005–1060.Web of ScienceGoogle Scholar

  • Breidt, F. J., R. A. Davis, K.-S. Lii, and M. Rosenblatt. 1991. “Maximum Likelihood Estimation for Noncausal Autoregressive Processes.” Journal of Multivariate Analysis 36: 175–198.CrossrefGoogle Scholar

  • Cecchetti, S. G., and G. Debelle. 2006. “Has the Inflation Process Changed?” Economic Policy 2006: 311–352.Google Scholar

  • Chib, S., and S. Ramamurthy. 2014. “DSGE Models with Student-t Errors.” Econometric Reviews 33: 152–171.Web of ScienceCrossrefGoogle Scholar

  • Clarida, R., J. Galí, and M. Gertler. 1998. “Monetary Policy Rules in Practice: Some International Evidence.” European Economic Review 42: 1033–1067.CrossrefGoogle Scholar

  • Cúrdia, V., M. Del Negro, and D. L. Greenwald. 2014. “Rare Shocks, Great Recessions.” Journal of Applied Econometrics, published online May 2014.Google Scholar

  • Fuhrer, J. C. 2010. “Inflation Persistence.” In Handbook of Monetary Economics, edited by B. M. Friedman and M. Woodford, Vol. 3. Amsterdam: Elsevier.Google Scholar

  • Galí, J., and M. Gertler. 1999. “Inflation Dynamics: A Structural Econometric Analysis.” Journal of Monetary Economics 44: 195–222.Web of ScienceCrossrefGoogle Scholar

  • Gerlach, S. 2000. “Asymmetric Policy Reactions and Inflation.” Unpublished mimeo. Bank for International Settlements.Google Scholar

  • Hassler, U., and B. Meller. 2014. “Detecting Multiple Breaks in Long Memory: The Case of U.S. Inflation.” Empirical Economics 46: 653–680.Web of ScienceCrossrefGoogle Scholar

  • Karadi, P., and A. Reiff. 2012. “Large Shocks in Menu Cost Models.” ECB Working Paper No. 1453.Google Scholar

  • Koop, G., M. H. Pesaran, and S. M. Potter. 1996. “Impulse Response Analysis in Nonlinear Multivariate Models.” Journal of Econometrics 74: 119–147.Google Scholar

  • Kumar, M. S., and T. Okimoto. 2007. “Dynamics of Persistence in International Inflation Rates.” Journal of Money, Credit and Banking 39: 1457–1479.CrossrefGoogle Scholar

  • Lanne, M., and J. Luoto. 2013. “Autoregression-Based Estimation of the New Keynesian Phillips Curve.” Journal of Economcic Dynamics & Control 37: 561–570.Web of ScienceGoogle Scholar

  • Lanne, M., and P. Saikkonen. 2011. “Noncausal Autoregressions for Economic Time Series.” Journal of Time Series Econometrics 3(3): Article 2.Google Scholar

  • Lanne, M., and P. Saikkonen. 2013. “Noncausal Vector Autoregression.” Econometric Theory 29: 447–481.CrossrefWeb of ScienceGoogle Scholar

  • Lanne, M., A. Luoma, and J. Luoto. 2012. “Bayesian Model Selection and Forecasting in Noncausal Autoregressive Models.” Journal of Applied Econometrics 27: 812–830.CrossrefWeb of ScienceGoogle Scholar

  • Lanne, M., J. Luoto, and P. Saikkonen. 2012. “Optimal Forecasting of Nocausal Autoregressive Time Series.” International Journal of Forecasting 28: 623–631.CrossrefWeb of ScienceGoogle Scholar

  • Levin, A. T., and J. M. Piger. 2003. “Is Inflation Persistence Intrinsic in Industrial Economies?” ECB Working Paper No. 334.Google Scholar

  • Lof, M. 2013. “Noncausality and Asset Pricing.” Studies in Nonlinear Dynamics & Econometrics 17: 211–220.Google Scholar

  • Nobay, B., I. Paya, and D. A. Peel. 2010. “Inflation Dynamics in the U.S.: Global but not Local Mean Reversion.” Journal of Money, Credit and Banking 42: 135–150.CrossrefWeb of ScienceGoogle Scholar

  • Orphanides, A., and D. W. Wilcox. 2002. “The Opportunistic Approach to Disinflation.” International Finance 5: 47–71.CrossrefGoogle Scholar

  • Pesaran, M. H., and S. M. Potter. 1997. “A Floor and Ceiling Model of US Output.” Journal of Economic Dynamics and Control 2: 661–695.Google Scholar

  • Saikkonen, P., and R. Sandberg. 2013. “Testing for a Unit Root in Noncausal Autoregressive Models.” Bank of Finland Research Discussion Paper 26/2013.Google Scholar

  • Tillmann, P., and M. H. Wolters. 2014. “The Changing Dynamics of US Inflation Persistence: A Quantile Regression Approach.” Studies in Nonlinear Dynamics & Econometrics, published online September 2014.Web of ScienceGoogle Scholar

  • Tsong, C.-C., and C.-F. Lee. 2011. “Asymmetric Inflation Dynamics: Evidence from Quantile Regression Analysis.” Journal of Macroeconomics 33: 668–680.CrossrefWeb of ScienceGoogle Scholar

  • van Dijk, D., P. H. Franses, and A. Lucas. 1999. “Testing for ARCH in the Presence of Additive Outliers.” Journal of Applied Econometrics 14: 539–562.CrossrefGoogle Scholar

  • van Dijk, D., P. H. Franses, and H. P. Boswijk. 2007. “Absorption of Shocks in Nonlinear Autoregressive Models.” Computational Statistics & Data Analysis 51: 4206–4226.Web of ScienceCrossrefGoogle Scholar

About the article

Corresponding author: Markku Lanne, Department of Political and Economic Studies, University of Helsinki, P.O. Box 17 (Arkadiankatu 7), Helsinki 00014, Finland, Tel.: +358294128731, Fax: +358294128736, e-mail:

Published Online: 2014-11-26

Published in Print: 2015-09-01

Citation Information: Studies in Nonlinear Dynamics & Econometrics, Volume 19, Issue 4, Pages 469–481, ISSN (Online) 1558-3708, ISSN (Print) 1081-1826, DOI: https://doi.org/10.1515/snde-2013-0108.

Export Citation

©2015 by De Gruyter.Get Permission

Supplementary Article Materials

Comments (0)

Please log in or register to comment.
Log in