Nobay, A. Robert; Paya, Ivan; Peel, David A. - London School of Economics (LSE) - 2007
A stylized fact of US inflation dynamics is one of extreme persistence and possible unit root behavior. If so, the … representation of the inflation process, the nonlinear ESTAR, rather than the IMA process with time-varying parameters as in Stock … Reserve inflation targets. We address the issue of whether the source of the Great Moderation can be ascribed to good luck …