This paper examines the degree of persistence in UK inflation by applying long-memory methods to historical data that … evolution over time. On the whole, the evidence suggests that the degree of persistence of UK inflation has been relatively … stable following the Bretton Woods period, despite the adoption of different monetary regimes. The estimation of an …

This paper examines the degree of persistence in UK inflation by applying long-memory methods to historical data that … evolution over time. On the whole, the evidence suggests that the degree of persistence of UK inflation has been relatively … stable following the Bretton Woods period, despite the adoption of different monetary regimes. The estimation of an …

In this paper we propose a model for monthly inflation with stochastic trend, seasonal and transitory components with …, the uncertainty associated with these components may increase with the level of inflation as postulated by Friedman. We … experiments. Finally, we use auxiliary residuals to detect conditional heteroscedasticity in monthly inflation series of eight …

This paper is an empirical study of the links between monetary variables and inflation based on Cagan`s equation and … differenced model overcomes Evans` critique of this test and that chronic inflation is essentially a monetary phenomenon caused by …

the observed time series. We develop a simulated maximum likelihood estimation method based on importance sampling and … applied to quarterly and monthly US inflation in an empirical study. We find that the persistence of quarterly inflation has … and density forecasts for monthly US inflation. …

Inflation (PCCI), a measure of underlying inflation in the euro area. The PCCI reflects the view that underlying inflation … component of inflation. Methodologically, it relies on a generalised dynamic factor model estimated on a large set of … disaggregated HICP inflation rates for 12 euro area countries. For each individual inflation rate, we estimate a low …

the Phillips curve over time. We consider different specifications and different measures for inflation. Furthermore, we … include stochastic volatility for the observation errors. Our estimation results are based on practical Bayesian state space ….S. headline inflation has remained empirically relevant over the years. …

Does the effect of monetary policy depend on the prevailing level of inflation? In order to answer this question, we … construct a parsimonious nonlinear time series model that allows for inflation regimes. We find that the effects of monetary … policy are markedly different when year-over-year inflation exceeds 5.5 percent. Below this threshold, changes in monetary …

theoretical results in this work is illustrated with an application to U.S. inflation data. The main finding is that inflation …