method is based on the comparison of standard log-periodogram regression estimation of the memory parameter with its tapered … parameter under the null, and is therefore estimated by bootstrapping. The test is applied to inflation rates of three …

In this paper, it is analyzed whether core money growth helps to predict future inflation in a useful and reliable way … information not contained in the inflation history, that its inclusion in a forecasting model can increase the forecasting … accuracy, and that it has had a strong and stable long-run link to inflation over the last decades. A particularly promising …

We develop Bayesian techniques for estimation and model comparison in a novel Generalised Stochastic Unit Root (GSTUR … degree of persistence to change over time. In particular the model allows for shifts from stationarity I(0) to … of some macroeconomic time series such as stock market indices, inflation and exchange rates. …

-parametric estimation is impractical given commonly available predictive sample sizes. Instead, this paper derives the approximate … inflation. …

This paper adopts the Impulse-Response methodology to understand inflation persistence. It has often been argued that … distribution of durations can take us a long way to solving the puzzle of inflation persistence, but not all the way yet. … existing models of pricing fail to explain the persistence that we observe. We adopt a common general framework which allows …

This paper examines the concept of inflation persistence in macroeconomic theory. It begins with a definition of … persistence, emphasizing the difference between reduced]form and structural persistence. It then examines a number of empirical … measures of reduced]form persistence, considering the possibility that persistence may have changed over time. The paper then …

persistence of supply shocks in U.S. inflation fell considerably during the period of Volcker's disinflation (1979-1982). My …This paper examines the long-run effects of supply shocks (such as oil shocks) on inflation in the United States. The … the behavior of inflation expectations-agents expected shocks to persist in the pre-Volcker period, but not in the post …