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Studies in Nonlinear Dynamics & Econometrics

Ed. by Mizrach, Bruce


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1558-3708
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Volume 19, Issue 4

Issues

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
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  • Other articles by this author:
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Published Online: 2014-11-26 | DOI: https://doi.org/10.1515/snde-2013-0108

Abstract

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

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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.

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