The Persistence of Inflation in Switzerland: Evidence from Disaggregate Data
KOF Swiss Economic Institute, ETH Zurich
Swiss National Bank
July 23, 2009
KOF Working Paper No. 235
This paper investigates persistence of Swiss consumer price inflation using aggregate and disaggregate inflation data covering 1983-2008. We document that persistence of sectoral inflation rates is below persistence of aggregate inflation. Our main finding is that inflation persistence significantly declines in the early 1990s. An estimated factor model reveals that inflation persistence stems from a persistent component that is common to inflation rates across sectors. Both the relevance and the persistence of the common component decline over time. Depending on the sample period and aggregation level, 70 to 90 percent of the variance in sectoral inflation rates is accounted for by short-lived sectoral factors.
Number of Pages in PDF File: 46
Keywords: inflation persistence, inflation dynamics, aggregation and persistence
JEL Classification: E31, E52, C22working papers series
Date posted: July 25, 2009 ; Last revised: July 27, 2009
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
This page was processed by apollo5 in 0.344 seconds