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Measuring Inflation Persistence: A Structural Time Series Approach
Open accessAbstract
Time series estimates of inflation persistence incur an upward bias if shifts in the inflation target of the central bank remain unaccounted for. Using a structural time series approach we measure different sorts of inflation persistence allowing for an unobserved timevarying inflation target. Unobserved components are identified using Kalman filtering and smoothing techniques. Posterior densities of the model parameters and the unobserved components are obtained in a Bayesian framework based on importance sampling. We find that inflation persistence, expressed by the halflife of a shock, can range from 1 quarter in case of a costpush shock to several years for a shock to longrun inflation expectations or the output gap.
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Cites
Discretion versus policy rules in practice
Taylor, J. B. (1993) · Carnegie-Rochester Conference Series on Public Policy · doi:10.1016/0167-2231(93)90009-l · Cited by 9,065
Time Series Analysis by State Space Methods: Second Edition
Durbin, J., & Koopman, S. J. (2012) · doi:10.1093/acprof:oso/9780199641178.001.0001 · Cited by 3,301
Cited by
Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach
Smets, F., & Wouters, R. (2007) · SSRN Electronic Journal · doi:10.2139/ssrn.1687574 · Cited by 1,506
The dynamics of trade and competition
Chen, N., Imbs, J., & Scott, A. (2009) · Journal of International Economics · doi:10.1016/j.jinteco.2008.10.003 · Cited by 358
Metadata
- Authors
- Dossche, M., & Everaert, G.
- Venue
- SSRN Electronic Journal
- Publisher
- Elsevier BV
- Published
- 2005
- ISSN
- 1556-5068 (ISSN-L)
- OpenAlex
- W1538613182
- Cited by
- 159
- References
- 2
- Type
- posted content
- Language
- en
- Open access
- green
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