Identifying Changes in Mean, Seasonality, Persistence and Volatility for G7 and Euro Area Inflation*
Identifying Changes in Mean, Seasonality, Persistence and Volatility for G7 and Euro Area Inflation*
复制标题
确定七国集团和欧元区通胀的平均值、季节性、持续性和波动性的变化*
DOI：
10.1111/obes.12021
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发表时间：
2013
影响因子：
2.5
通讯作者：
Bataa E
中科院分区：
文献类型：
--
作者：
Bataa E
我们提出了一个迭代分解，测试和解释多个结构性突变的均值，季节性，动态和条件波动，同时也占离群值。与联合过程相比，在每次迭代中单独考虑每个组件会带来更大的灵活性。蒙特卡洛分析表明，该程序执行良好。应用于G7国家和欧元区的月度CPI通胀，我们发现了所有国家的平均和季节性中断，考虑到这些因素，通常还表明了持续性的变化。此外，1980年代初期至中期，波动性普遍减少，有些国家从1999年起波动性增加。
We propose an iterative decomposition that tests and accounts for multiple structural breaks in the mean, seasonality, dynamics and conditional volatility, while also accounting for outliers. Considering each component separately within each iteration leads to greater flexibility compared with joint procedures. Monte Carlo analysis shows the procedure performs well. Applied to monthly CPI inflation in G7 countries and the Euro area, we uncover mean and seasonality breaks for all countries and, allowing for these, changes in persistence are generally also indicated. Further, volatility reductions are widespread in the early to mid 1980s, with some countries exhibiting increases from 1999 onwards.