Inflation Persistence in the European Union, the Euro Area, and the United States
54 Pages Posted: 20 Dec 2004
Date Written: November 2004
In this paper we report results on inflation persistence using 79 inflation series covering the EU countries, the euro area and the US for five different inflation variables. The picture that emerges is one of moderate inflation persistence across the board. In particular we find euro area inflation persistence to be broadly in line with US inflation persistence. The issue of allowing for intercept dummies in the underlying inflation models is found to be of paramount importance to avoid overestimation of the level of persistence. The use of alternative measures of persistence is found to be commendable on the grounds that they complement each other in practice.
Keywords: Inflation dynamics, structural change, median unbiased estimates
JEL Classification: E31, E52, C22, C12
Suggested Citation: Suggested Citation