ability to describe the US inflation data. Specifically, the model allows for long memory in the conditional mean formulation … yields a good description of the salient features, including skewness and heteroskedasticity, of the US inflation data … ; Inflation ; Long Memory ; Normal Mixture …

ability to describe the US inflation data. Specifically, the model allows for long memory in the conditional mean formulation … yields a good description of the salient features, including skewness and heteroskedasticity, of the US inflation data …

In this paper we investigate the behavior of inflation persistence in the United States. To model inflation we estimate … varying persistence, which not only distinguishes between changes in the dynamics of inflation and its volatility, but it also … allows for feedback from nominal uncertainty to inflation. Our empirical results suggest that inflation persistence in the …

This paper analyzes euro area and U.S. inflation dynamics since the beginning of the 1990s by estimating New Keynesian … hybrid Phillips curves with time-varying parameters. We measure inflation expectations by subjective forecasts from Consensus … results indicate that in both economic areas the inflation dynamics have steadily become more forward-looking over time. We …

We propose a noncausal autoregressive model with time-varying parameters, and apply it to U.S. postwar inflation. The … model fits the data well, and the results suggest that inflation persistence follows from future expectations. Persistence … curve indicate that current inflation also depends on past inflation although future expectations dominate. The implied …

The persistence property of inflation is an important issue for not only economists, but, especially for central banks …, given that the degree of inflation persistence determines the extent to which central banks can control inflation. Further …, not only is the level of inflation persistence that is important in economic analyses, but also the question of whether …