English, Article, Journal or magazine article edition: Measuring inflation persistence: a structural time series approach M. DOSSCHE; G. EVERAERT

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Bookmark: http://trove.nla.gov.au/version/14672
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Measuring inflation persistence: a structural time series approach
Author
  • M. DOSSCHE
  • G. EVERAERT
Physical Description
  • preprint
Notes
  • Using a structural time series approach we measure different sorts of inflation persistence allowing for an unobserved time-varying inflation target. Unobserved components are identified using Kalman filtering and smoothing techniques. Posterior densities of the model parameters and the unobserved components are obtained in a Bayesian framework based on importance sampling. We find that inflation persistence, expressed by the half life of a shock, can range from 1 quarter in case of a cost-push shock to several years for a shock to long-run inflation expectations or the output gap.
  • Inflation Target, State Space Model, Kalman Filter, Bayesian Analysis
  • RePEc:rug:rugwps:05/​340
Language
  • English
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