A reexamination of inflation persistence dynamics in OECD countries

Detalhes bibliográficos
Autor(a) principal: Zsurkis, Gabriel
Data de Publicação: 2019
Outros Autores: Nicolau, João, Rodrigues, Paulo M. M.
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/23984
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 procedure 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 indepth Monte Carlo analysis shows that the new procedure has important power gains when compared to the local GLS de-trended Dickey-Fuller (DFGLS) type tests introduced by Elliott et al. (1996) under various data generating processes with persistence changes. Moreover, an empirical application to OECD countries’ inflation series shows that for most countries analysed persistence was high in the first half of the sample and subsequently decreased. These results are compatible with modern macroeconomic theories that point to changes in inflation behavior in the early 1980s and also with recent empirical evidence against the I(1)-I(0) dichotomy.
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spelling A reexamination of inflation persistence dynamics in OECD countriesNonstationaryUnit RootsInflationCPIChange in PersistenceThis 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 procedure 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 indepth Monte Carlo analysis shows that the new procedure has important power gains when compared to the local GLS de-trended Dickey-Fuller (DFGLS) type tests introduced by Elliott et al. (1996) under various data generating processes with persistence changes. Moreover, an empirical application to OECD countries’ inflation series shows that for most countries analysed persistence was high in the first half of the sample and subsequently decreased. These results are compatible with modern macroeconomic theories that point to changes in inflation behavior in the early 1980s and also with recent empirical evidence against the I(1)-I(0) dichotomy.Banco de PortugalRepositório da Universidade de LisboaZsurkis, GabrielNicolau, JoãoRodrigues, Paulo M. M.2022-04-01T19:07:38Z2019-052019-05-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/23984engZsurkis, Gabriel. João Nicolau and Paulo M. M. Rodrigues .2019. “A reexamination of inflation persistence dynamics in OECD countries” .Banco de Portugal. Economic and Research Department. Working Papers nº 9 | 2019.2182-0422info: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:RCAAP2023-03-06T14:53:37Zoai:www.repository.utl.pt:10400.5/23984Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:08:07.713517Repositório 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 reexamination of inflation persistence dynamics in OECD countries
title A reexamination of inflation persistence dynamics in OECD countries
spellingShingle A reexamination of inflation persistence dynamics in OECD countries
Zsurkis, Gabriel
Nonstationary
Unit Roots
Inflation
CPI
Change in Persistence
title_short A reexamination of inflation persistence dynamics in OECD countries
title_full A reexamination of inflation persistence dynamics in OECD countries
title_fullStr A reexamination of inflation persistence dynamics in OECD countries
title_full_unstemmed A reexamination of inflation persistence dynamics in OECD countries
title_sort A reexamination of inflation persistence dynamics in OECD countries
author Zsurkis, Gabriel
author_facet Zsurkis, Gabriel
Nicolau, João
Rodrigues, Paulo M. M.
author_role author
author2 Nicolau, João
Rodrigues, Paulo M. M.
author2_role author
author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Zsurkis, Gabriel
Nicolau, João
Rodrigues, Paulo M. M.
dc.subject.por.fl_str_mv Nonstationary
Unit Roots
Inflation
CPI
Change in Persistence
topic Nonstationary
Unit Roots
Inflation
CPI
Change in Persistence
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 procedure 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 indepth Monte Carlo analysis shows that the new procedure has important power gains when compared to the local GLS de-trended Dickey-Fuller (DFGLS) type tests introduced by Elliott et al. (1996) under various data generating processes with persistence changes. Moreover, an empirical application to OECD countries’ inflation series shows that for most countries analysed persistence was high in the first half of the sample and subsequently decreased. These results are compatible with modern macroeconomic theories that point to changes in inflation behavior in the early 1980s and also with recent empirical evidence against the I(1)-I(0) dichotomy.
publishDate 2019
dc.date.none.fl_str_mv 2019-05
2019-05-01T00:00:00Z
2022-04-01T19:07:38Z
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/10400.5/23984
url http://hdl.handle.net/10400.5/23984
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Zsurkis, Gabriel. João Nicolau and Paulo M. M. Rodrigues .2019. “A reexamination of inflation persistence dynamics in OECD countries” .Banco de Portugal. Economic and Research Department. Working Papers nº 9 | 2019.
2182-0422
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.publisher.none.fl_str_mv Banco de Portugal
publisher.none.fl_str_mv Banco de Portugal
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
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reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
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