We examine both the degree and the structural stability of inflation persistence at different quantiles of the … conditional inflation distribution. Previous research focused exclusively on persistence at the conditional mean of the inflation … rate. As economic theory provides reasons for inflation persistence to differ across conditional quantiles, this is a …

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 …

inflation and the output gap, we show that the empirically observed changes in U.S. inflation persistence during the period 1975 …In a simple New Keynesian model, we derive a closed form solution for the inflation persistence parameter as a function …) view that inflation persistence should not be considered a structural parameter in the sense of Lucas. …

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 …

Recently a market in options based on CPI inflation (inflation caps and floors) has emerged in the US. This paper uses … quotes on these derivatives to construct probability densities for inflation. We study how these pdfs respond to news … empirical pricing kernels. The options-implied densities assign considerably more mass to extreme inflation outcomes (either …

to inflation and the output gap, we show that the empirically observed changes in U.S. inflation-gap persistence during …In a simple New Keynesian model, we derive a closed form solution for the inflation-gap persistence parameter as a … Benati’s (2008) view that inflation persistence should not be considered a structural parameter in the sense of Lucas. …

-varying inflation persistence as an important issue for monetary policy. We determine not only the location and significance of breaks … in persistence, but also the number of breaks. Only one significant break in U.S. inflation persistence (measured by the … integration ; break in persistence ; unknown break point ; inflation dynamics …

We examine both the degree and the structural stability of inflation persistence at different quantiles of the … conditional inflation distribution. Previous research focused exclusively on persistence at the conditional mean of the inflation … rate. As economic theory provides reasons for inflation persistence to differ across conditional quantiles, this is a …

. In particular, the consequences of inflation having discrete breaks in mean, for example caused by supply shocks and the … dynamic inflation terms of the Phillips curve. We suggest a method to account for the breaks in mean and obtain meaningful and … from more traditional approaches, most recently undertaken by Cogley and Sbordone (2008). -- Phillips curve ; inflation …

We use noncausal autoregressions to examine the persistence properties of quarterly U.S. consumer price inflation from … 1970:1.2012:2. These nonlinear models capture the autocorrelation structure of the inflation series as accurately as their … conventional causal counterparts, but they allow for persistence to depend on the size and sign of shocks to inflation as well as …