English, Article, Journal or magazine article edition: Inflation persistence in the euro-area, US, and new members of the EU: Evidence from time-varying coefficient models Zsolt Darvas; Balázs Varga

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Bookmark: http://trove.nla.gov.au/version/34460
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Inflation persistence in the euro-area, US, and new members of the EU: Evidence from time-varying coefficient models
Author
  • Zsolt Darvas
  • Balázs Varga
Physical Description
  • preprint
Notes
  • This paper studies inflation persistence with time-varying-coefficient autoregressions in response to recently discovered structural breaks in historical inflation time series of the euro-area and the US. To this end, we compare the statistical properties of the well known ML estimation using the Kalman-filter and the less known Flexible Least Squares estimator by Monte Carlo simulation. We also suggest a procedure for selecting the weight for FLS based on an iterative Monte Carlo simulation technique calibrated to the time series in question. We apply the methods for the study of inflation persistence of the US, the euro-area and the new members of the EU
  • flexible least squares, inflation persistence, Kalman-filter, time-varying coefficient models
  • RePEc:mmf:mmfc06:137
Language
  • English
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