Inflation Persistence Before and After Inflation Targeting: A Fractional Integration Approach
Document Type
Article
Publication Date
1-1-2017
Publication Title
Eastern Economic Journal
Volume
43
Issue
1
First page number:
78
Last page number:
103
Abstract
We investigate the persistence in the inflation series for 13 OECD countries that explicitly adopted an inflation targeting (IT) regime before 1992. Mean reversion and stationarity as well as mean reversion and non-stationarity exist in the pre-IT period, while mean reversion and stationarity characterize the post-IT period. Inflation exhibits fractional integration behavior over the entire sample period, the pre-IT period, and, in most cases, also in the post-IT period. The adoption of IT coincides with a structural break in all inflation series and marks a decrease in the point estimates of inflation persistence in most countries. © 2016 EEA.
Language
english
Repository Citation
Canarella, G.,
Miller, S. M.
(2017).
Inflation Persistence Before and After Inflation Targeting: A Fractional Integration Approach.
Eastern Economic Journal, 43(1),
78-103.
http://dx.doi.org/10.1057/eej.2015.36