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Noncausality and inflation persistence

Noncausality and inflation persistence 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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Studies in Nonlinear Dynamics & Econometrics de Gruyter

Noncausality and inflation persistence

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Publisher
de Gruyter
Copyright
Copyright © 2015 by the
ISSN
1081-1826
eISSN
1558-3708
DOI
10.1515/snde-2013-0108
Publisher site
See Article on Publisher Site

Abstract

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.

Journal

Studies in Nonlinear Dynamics & Econometrics – de Gruyter

Published: Sep 1, 2015

References

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    Breidt
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    Levin
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    van Dijk
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    Fuhrer
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    Karadi
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    Clarida
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    Pesaran
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    Cecchetti
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    Lanne
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    Koop
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    Aksoy
  • Optimal Forecasting of Nocausal Autoregressive Time Series of
    Lanne
  • Maximum Likelihood Estimation for All - Pass Time Series Models of
    Andrews
  • Models with Student Errors
    Chib
  • Asymmetric Inflation Dynamics Evidence from Quantile Regression of
    Tsong
  • Maximum Likelihood Estimation for Noncausal Autoregressive Processes of
    Breidt
  • Asymmetric Price Adjustment Fluctuations
    Ball
  • Asymmetric Policy Reactions and Inflation Unpublished mimeo Bank for International Settlements
    Gerlach
  • Inflation Dynamics in the Global but not Local Mean Reversion of and
    Nobay
  • Asymmetric Price Adjustment Fluctuations
    Ball
  • Autoregressions for Economic Time Series of Time Series Article
    Lanne
  • Dynamics of Persistence in International Inflation Rates of and
    Kumar
  • Testing for a Unit Root in Noncausal Autoregressive Models Bank of Finland Research Discussion Paper
    Saikkonen
  • Bayesian Model Selection and Forecasting in Noncausal Autoregressive Models of
    Lanne
  • Dynamics of Persistence in International Inflation Rates of and
    Kumar
  • Quantitative Exploration of the Opportunistic Approach to Disinflation of
    Aksoy
  • Asymmetric Inflation Dynamics Evidence from Quantile Regression of
    Tsong
  • The Opportunistic Approach to
    Orphanides
  • Absorption of Shocks in Nonlinear Autoregressive Models
    van Dijk
  • Asymmetric Policy Reactions and Inflation Unpublished mimeo Bank for International Settlements
    Gerlach
  • Investigating Inflation Persistence across Monetary Regimes of
    Benati
  • Del Rare Shocks Great Recessions of published online
    Cúrdia
  • Tillmann The Changing Dynamics of US Inflation Persistence Quantile Regression Approach Studies in Nonlinear published online September
    Wolters
  • Inflation Persistence of Monetary edited by Amsterdam
    Fuhrer
  • Inflation Dynamics Structural of
    Galí
  • Has the Inflation Process Changed
    Cecchetti
  • Inflation Dynamics in the Global but not Local Mean Reversion of and
    Nobay
  • Testing for ARCH in the Presence of Additive Outliers of
    van Dijk
  • Del Rare Shocks Great Recessions of published online
    Cúrdia
  • Detecting Multiple Breaks in Long Memory The Case of Inflation Empirical
    Hassler
  • in Some Evidence
    Clarida
  • Optimal Forecasting of Nocausal Autoregressive Time Series of
    Lanne
  • Bayesian Model Selection and Forecasting in Noncausal Autoregressive Models of
    Lanne
  • Absorption of Shocks in Nonlinear Autoregressive Models
    van Dijk