This paper considers the application of long memory processes to describe inflation with seasonal behaviour. We use … inflation rates of four different countries, USA, Canada, Tunisia, and South Africa. The analysis is carried out using the … persistence is a common feature for inflation series. Note that neglecting the existence of additive outliers may possibly biased …

This paper estimates a time-varying AR-GARCH model of inflation producing measures of inflation uncertainty for the … policy regime change associated with the start of EMU in 1999. The main findings are as follows. Steady-state inflation and … inflation uncertainty have declined steadily since the inception of EMU, whilst short-run uncertainty has increased, mainly …

This paper investigates persistence of Swiss consumer price inflation using aggregate and disaggregate inflation data … covering 1983-2008. We document that persistence of sectoral inflation rates is below persistence of aggregate inflation. Our … main finding is that inflation persistence significantly declines in the early 1990s. An estimated factor model reveals …

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 …

In this paper we propose a model for monthly inflation with stochastic trend, seasonal and transitory components with …, the uncertainty associated with these components may increase with the level of inflation as postulated by Friedman. We … experiments. Finally, we use auxiliary residuals to detect conditional heteroscedasticity in monthly inflation series of eight …

The New Keynesian Phillips curve (NKPC) posits the dynamics of inflation as forward looking and related to marginal … the NKPC provides useful insights into the nature of inflation dynamics in mainland China as well as useful insights for …

The statistical properties of inflation and, in particular, its degree of persistence and stability over time is a … consider the inflation rates of 21 OECD countries which are modelled as fractionally integrated (FI) processes. First, we show … analytically that FI can appear in inflation rates after aggregating individual prices from firms that face different costs of …

We use parametric power ARCH models of the conditional variance of inflation to model the relationship between … inflation and its uncertainty using monthly data for Germany, the Netherlands and Sweden over a period ranging from 1962 to 2004 …. For all three countries inflation significantly raises inflation uncertainty as predicted by Friedman. Increased …

foreign output gaps on domestic consumer price inflation is generally insignificant and often of the wrong sign. Second, we … find no evidence that the trend decline in the sensitivity of inflation to the domestic output gap observed in many … the role of domestic factors in the inflation process in industrial economies. Toward that end, we estimate standard …