Time-varying persistence in US inflation
Time-varying persistence in US inflation
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DOI：
10.2139/ssrn.2507695
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发表时间：
2014-10
影响因子：
3.2
通讯作者：
M. Caporin;Rangan Gupta
中科院分区：
文献类型：
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作者：
M. Caporin;Rangan Gupta
通货膨胀的持续性不仅对经济学家来说是一个重要的问题，对中央银行来说更是如此，因为通货膨胀持续性的程度决定了中央银行控制通货膨胀的程度。此外，不仅通货膨胀持续性的水平在经济分析中很重要，而且持续性是否随时间而变化的问题，例如，在商业周期的各个阶段，也同样重要，因为假设经济状态的持续性不变，肯定会导致错误的政策决定。在此背景下，我们扩展了美国经济在1920：1-2014：5的月度期间通货膨胀持续性的长记忆模型的文献，通过开发一个自回归分数积分移动平均广义自回归条件异方差模型，该模型具有随时间变化的记忆系数，该系数在扩张和衰退期间变化。总之，我们发现，通货膨胀的持续性在经济衰退和经济扩张之间确实存在差异，前者的持续性明显高于后者。顺便说一句，我们还表明，通货膨胀波动的持续性在扩张期间比在衰退期间更高。可以理解的是，我们的研究结果具有重要的政策含义。
The persistence property of inflation is an important issue not only for 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 it the level of inflation persistence that is important in economic analyses, but also the question of whether the persistence varies over time, for instance, across business cycle phases, is equally pertinent, since assuming constant persistence across states of the economy is sure to lead to misguided policy decisions. Against this backdrop, we extend the literature on long-memory models of inflation persistence for the US economy over the monthly period of 1920:1–2014:5, by developing an autoregressive fractionally integrated moving-average-generalized autoregressive conditional heteroskedastic model with a time-varying memory coefficient which varies across expansions and recessions. In sum, we find that inflation persistence does vary across recessions and expansions, with it being significantly higher in the former than in the latter. As an aside, we also show that persistence of inflation volatility is higher during expansions than in recessions. Understandably, our results have important policy implications.