commonly used as a measure of excess demand in assessing inflation pressures. To estimate these unobserved variables, a popular …

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 …

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 …

1851-2013 by estimating a multivariate ARFIMA-FIGARCH model (with the unemployment rate and inflation as explanatory …

We analyze cross-household inflation dispersion in Europe using "fictitious" monthly inflation rates for several … to 2008. Our analysis is carried out on a panel of 23 up to 27 household-specific inflation rates per country for 15 … cross-country differences in inflation inequality with respect to the number of driving forces in the panel. In particular …

-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 …

The estimation of inflation volatility is important to Central Banks as it guides their policy initiatives for … Heteroscedasticity (GARCH) family with a view to providing a parsimonious approximation to the dynamics of Nigeria's inflation volatility … and food CPI, implying that the impacts of inflation shocks on their volatilities die away very slowly. However, the …

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 …

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 …