principal components estimator, suited to estimate systems of fractionally cointegrated processes. The proposed core inflation … measure is the scaled common persistent factor in inflation and excess nominal money growth and bears the interpretation of … monetary inflation. The proposed measure is characterised by all the properties that an u0093idealu0094 core inflation process …

This paper investigates the relationship between inflation and inflation uncertainty in twelve EMU countries. A time …-varying GARCH model is estimated to distinguish between short-run and steady-state inflation uncertainty. The effects of the …-state inflation has generally remained stable, steady-state inflation uncertainty and inflation persistence have both increased, and …

This paper investigates the relationship between inflation and inflation uncertainty in twelve EMU countries. A time …-varying GARCH model is estimated to distinguish between short-run and steady-state inflation uncertainty. The effects of the …-state inflation has generally remained stable, steady-state inflation uncertainty and inflation persistence have both increased, and …

We study the dynamics of inflation persistence in 45 countries for the period 1960-2008. We use a nonparametric unit … inflation data, and a test for multiple changes in persistence, which decomposes the sample information between adjacent I(0 …) and I(1) periods. We find that (1) With very few exceptions, inflation around the world rejects a unit root, (2) for …

When monetary policy has an explicit inflation target, observed inflation should be a stationary process. In countries … where, for a variety of reasons, the determinants of inflation could lead it to follow a non-stationary process, the … adoption of an inflation targeting framework should therefore induce a fundamental change in the stochastic process governing …

Empirical research on the degree and stability of inflation persistence in the US has produced mixed results: some … since the early 1980s. We show that post-WWII US inflation (monthly and quarterly) became highly persistent during the …´Great Inflation´ period, and then switched back to a low persistence process during 1984, and has remained stationary until the …

Since 2013 the inflation rate in the euro area has fallen steadily, reaching all-time lows at the end of 2014. Market …-based measures of inflation expectations (such as inflation swaps) have also declined to extremely low levels, which suggests … increasing concern about the credibility of the ECB in maintaining price stability. Inflation releases have often surprised …

This paper investigates the links between inflation, its uncertainty and economic growth in five ASEAN countries over … three variables. The major findings are: (i) inflation uncertainty increases more in response to positive inflation … surprises than to negative surprises in all countries; (ii) inflationary shocks affect positively inflation uncertainty as …

inflation. In terms of the sticky information theory, this environment may provide few incentives for agents to update … information on inflation and then a new slope of the sticky information Phillips curve should be observed. We estimate the degree … threshold models we identify regimes of high and low inflation and find that each regime is associated with a specific degree of …