A note on the dynamics of persistence in US inflation

Empirical research on the degree and stability of inflation persistence in the US has produced mixed results: some suggest high and unchanged persistence during the last few decades, while others argue in favor of a decline in persistence since the early 1980s. We contribute to this debate by applying a test specifically designed to test for multiple changes in persistence, allowing for consistent estimation of the possible change dates, and robust to level breaks. We show that post-WWII US inflation (monthly and quarterly) became highly persistent during the 'Great Inflation'period, and then switched back to a low persistence process during 1984, and has remained stationary until the present day.