US inflation dynamics on long range data

Show simple item record Plakandaras, Vasilios Gogas, Periklis Gupta, Rangan Papadimitriou, Theophilos 2015-03-24T05:51:06Z 2015-03-24T05:51:06Z 2015-08
dc.description.abstract In this paper we evaluate inflation persistence in the U.S. using long range monthly and annual data. The importance of inflation persistence is crucial to policy authorities and market participants, since the level of inflation persistence provides an indication on the susceptibility of the economy to exogenous shocks. Departing from classic econometric approaches found in the relevant literature, we evaluate persistence through the nonparametric Hurst exponent within both a global and a rolling window framework. Moreover, we expand our analysis to detect the potential existence of chaos in the data generating process, in order to enhance the robustness of conclusions. Overall, we find that inflation persistence is high from 1775 to 2013 for the annual dataset and from February 1876 to May 2014 in monthly frequency, respectively. Especially from the monthly dataset, the rolling window approach allows us to derive that inflation persistence has reached to historically high levels in the post Bretton Woods period and remained there ever since. en_ZA
dc.description.embargo 2017-02-03 en_ZA
dc.description.librarian hb2015 en_ZA
dc.description.uri en_ZA
dc.identifier.citation Vasilios Plakandaras, Periklis Gogas, Rangan Gupta & Theophilos Papadimitriou (2015) US inflation dynamics on long-range data, Applied Economics, 47:36, 3874-3890, DOI: 10.1080/00036846.2015.1019039. en_ZA
dc.identifier.issn 0003-6846 (print)
dc.identifier.issn 1466-4283 (online)
dc.identifier.other 10.1080/00036846.2015.1019039
dc.language.iso en en_ZA
dc.publisher Routledge en_ZA
dc.rights © Taylor and Francis. This is an electronic version of an article published in Applied Economics, vol. 47, no. 36, pp. 3874-3890, 2015. doi : . Applied Economics is available online at : http://www.tandfonline.comloi/raec20. en_ZA
dc.subject Inflation en_ZA
dc.subject Persistence en_ZA
dc.subject Hurst exponent en_ZA
dc.subject Detrended fluctuation analysis en_ZA
dc.subject Lyapunov exponent en_ZA
dc.title US inflation dynamics on long range data en_ZA
dc.type Postprint Article en_ZA

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