A reexamination of inflation persistence dynamics in OECD countries
Autor(a) principal: | |
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Data de Publicação: | 2019 |
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/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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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 |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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RCAAP |
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RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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1799131175201013760 |