A re-examination of inflation persistence dynamics in OECD countries
Autor(a) principal: | |
---|---|
Data de Publicação: | 2021 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10362/112875 |
Resumo: | This paper introduces a simple and easy to implement procedure to test for changes in persistence. The time-varying parameter that characterizes persistence changes under the alternative hypothesis is approximated by a parsimonious cosine function. The new test is the minimum of a t-statistic computed from a test regression that considers a set of reasonable values for a frequency term that is used to evaluate the time-varying properties of persistence. The asymptotic distributions of the new tests are derived and critical values are provided. An in-depth Monte Carlo analysis shows that the new procedure has important power gains when compared to the local Generalized Least Squares (GLS) de-trended Dickey–Fuller type tests under various data generating processes with persistence changes. Moreover, an empirical application to OECD countries’ inflation shows that for most series analysed persistence was high in the first half of the sample and subsequently decreased. These results conform with modern macroeconomic theories that point to changes in inflation dynamics in the early 1980s and also with recent empirical evidence against the I(1)−I(0) dichotomy. |
id |
RCAP_4b8289a8acbb3121cd68ce1a75ad8c10 |
---|---|
oai_identifier_str |
oai:run.unl.pt:10362/112875 |
network_acronym_str |
RCAP |
network_name_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository_id_str |
7160 |
spelling |
A re-examination of inflation persistence dynamics in OECD countriesa new approach*Statistics and ProbabilitySocial Sciences (miscellaneous)Economics and EconometricsStatistics, Probability and UncertaintyThis paper introduces a simple and easy to implement procedure to test for changes in persistence. The time-varying parameter that characterizes persistence changes under the alternative hypothesis is approximated by a parsimonious cosine function. The new test is the minimum of a t-statistic computed from a test regression that considers a set of reasonable values for a frequency term that is used to evaluate the time-varying properties of persistence. The asymptotic distributions of the new tests are derived and critical values are provided. An in-depth Monte Carlo analysis shows that the new procedure has important power gains when compared to the local Generalized Least Squares (GLS) de-trended Dickey–Fuller type tests under various data generating processes with persistence changes. Moreover, an empirical application to OECD countries’ inflation shows that for most series analysed persistence was high in the first half of the sample and subsequently decreased. These results conform with modern macroeconomic theories that point to changes in inflation dynamics in the early 1980s and also with recent empirical evidence against the I(1)−I(0) dichotomy.NOVA School of Business and Economics (NOVA SBE)RUNZsurkis, GabrielNicolau, JoãoRodrigues, Paulo2022-09-23T00:32:00Z2021-082021-08-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10362/112875eng0305-9049PURE: 27943013https://doi.org/10.1111/obes.12419info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T04:56:10Zoai:run.unl.pt:10362/112875Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:42:13.627748Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
A re-examination of inflation persistence dynamics in OECD countries a new approach* |
title |
A re-examination of inflation persistence dynamics in OECD countries |
spellingShingle |
A re-examination of inflation persistence dynamics in OECD countries Zsurkis, Gabriel Statistics and Probability Social Sciences (miscellaneous) Economics and Econometrics Statistics, Probability and Uncertainty |
title_short |
A re-examination of inflation persistence dynamics in OECD countries |
title_full |
A re-examination of inflation persistence dynamics in OECD countries |
title_fullStr |
A re-examination of inflation persistence dynamics in OECD countries |
title_full_unstemmed |
A re-examination of inflation persistence dynamics in OECD countries |
title_sort |
A re-examination of inflation persistence dynamics in OECD countries |
author |
Zsurkis, Gabriel |
author_facet |
Zsurkis, Gabriel Nicolau, João Rodrigues, Paulo |
author_role |
author |
author2 |
Nicolau, João Rodrigues, Paulo |
author2_role |
author author |
dc.contributor.none.fl_str_mv |
NOVA School of Business and Economics (NOVA SBE) RUN |
dc.contributor.author.fl_str_mv |
Zsurkis, Gabriel Nicolau, João Rodrigues, Paulo |
dc.subject.por.fl_str_mv |
Statistics and Probability Social Sciences (miscellaneous) Economics and Econometrics Statistics, Probability and Uncertainty |
topic |
Statistics and Probability Social Sciences (miscellaneous) Economics and Econometrics Statistics, Probability and Uncertainty |
description |
This paper introduces a simple and easy to implement procedure to test for changes in persistence. The time-varying parameter that characterizes persistence changes under the alternative hypothesis is approximated by a parsimonious cosine function. The new test is the minimum of a t-statistic computed from a test regression that considers a set of reasonable values for a frequency term that is used to evaluate the time-varying properties of persistence. The asymptotic distributions of the new tests are derived and critical values are provided. An in-depth Monte Carlo analysis shows that the new procedure has important power gains when compared to the local Generalized Least Squares (GLS) de-trended Dickey–Fuller type tests under various data generating processes with persistence changes. Moreover, an empirical application to OECD countries’ inflation shows that for most series analysed persistence was high in the first half of the sample and subsequently decreased. These results conform with modern macroeconomic theories that point to changes in inflation dynamics in the early 1980s and also with recent empirical evidence against the I(1)−I(0) dichotomy. |
publishDate |
2021 |
dc.date.none.fl_str_mv |
2021-08 2021-08-01T00:00:00Z 2022-09-23T00:32:00Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10362/112875 |
url |
http://hdl.handle.net/10362/112875 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
0305-9049 PURE: 27943013 https://doi.org/10.1111/obes.12419 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
repository.mail.fl_str_mv |
|
_version_ |
1799138034284756992 |