importance of modelling a system that includes the forcing variables as well as the rate of inflation is emphasized. We also …

ability to describe the US inflation data. Specifically, the model allows for long memory in the conditional mean formulation … yields a good description of the salient features, including skewness and heteroskedasticity, of the US inflation data …

prices that do not cancel out, adding persistence to the process. When inflation is low, no long-run interaction between …Using frequency domain techniques to separate short and long run dynamics and decomposing inflation into its common and … idiosyncratic components, we study the regime dependence of the inflation-RPV relation in Argentina and the USA. Under High …

The persistence properties of economic time series has been a primary object of investigation in a variety of guises … since the early days of econometrics. This paper suggests investigating the persistence of processes conditioning on their … its lags maybe a useful indicator of the variation in persistence with respect to its past history. We discuss in detail …

looking pricing account for the observed persistence in aggregate inflation. Second, price-setting responds to movements in … marginal costs, which should therefore be the driving force to observed inflation dynamics. This is not always the case in … conditions under which imposing homogeneity results in overestimating a backward-looking component in (aggregate) inflation, and …

earlier studies, we find that US postwar data are consistent both with the view that inflation dynamics are forward … relevant determinant of inflation. We show that this is an important factor contributing to the weak identification of the …

Recently a market in options based on CPI inflation (inflation caps and floors) has emerged in the US. This paper uses … quotes on these derivatives to construct probability densities for inflation. We study how these pdfs respond to news … empirical pricing kernels. The options-implied densities assign considerably more mass to extreme inflation outcomes (either …