English, Article, Journal or magazine article edition: Measuring inflation persistence: a structural time series approach Maarten Dossche; Gerdie Everaert

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Bookmark: http://trove.nla.gov.au/version/18155
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Measuring inflation persistence: A structural time series approach
Author
  • Maarten Dossche
  • Gerdie Everaert
Physical Description
  • preprint
Notes
  • RePEc:nbb:reswpp:200506-1
  • RePEc:sce:scecf5:459
  • Time series estimates of inflation persistence incur an upward bias if shifts in the inflation target of the central bank remain unaccounted for. 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 persistence; inflation target; Kalman filter; Bayesian analysis.
  • RePEc:ecb:ecbwps:20050495
  • RePEc:mmf:mmfc05:85
Language
  • English
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