A stylized fact of U.S. inflation dynamics is one of extreme persistence and possible unit root behavior. If so, the implications for macroeconomics and monetary policy are somewhat unpalatable. Our econometric analysis proposes a parsimonious univariate representation of the inflation process...

This paper examines the impact of temporal aggregation on alternative definitions of inflation persistence. Using the CPI and the core PCE deflator of the United States, our results show that temporal aggregation from the monthly to the quarterly to the annual frequency induces persistence in...