On the Relationship between Inflation Persistence and Temporal Aggregation

On the Relationship between Inflation Persistence and Temporal Aggregation

This paper examines the impact of temporal aggregation on alternative definitions of inflation persistence. Using the CPI and the core PCE deflator of the United States, our results show that temporal aggregation from the monthly to the quarterly to the annual frequency induces persistence in the in...

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Bibliographic Details
Published in:Journal of money, credit and banking Vol. 39; no. 6; pp. 1521 - 1531
Main Authors: PAYA, IVAN, DUARTE, AGUSTIN, HOLDEN, KEN
Format: Journal Article
Language:English
Published: Malden, USA Blackwell Publishing Inc 01-09-2007
Blackwell Publishing
John Wiley & Sons, Inc
Ohio State University Press
Subjects:
Aggregation
Autocorrelation
Autoregressive models
Bank credit
C15
C22
Consumer Price Index
Data aggregation
Data analysis
Economic inflation
Economic theory
Inflation
Inflation (Economics)
Inflation (Finance)
Inflation persistence
Inflation rate
Inflation shocks
Macroeconomic modeling
Monetary economics
Monte Carlo methods
persistence
Research methods
Shorter Papers, Discussions, and Letters
Studies
Time series
United States > US
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Summary:This paper examines the impact of temporal aggregation on alternative definitions of inflation persistence. Using the CPI and the core PCE deflator of the United States, our results show that temporal aggregation from the monthly to the quarterly to the annual frequency induces persistence in the inflation series.
Bibliography:ArticleID:JMCB077
ark:/67375/WNG-F0MH6W45-8
istex:AE091D6D25304716E33314B0ADD1587246FF2F30
We are grateful to the editor and an anonymous referee for their constructive comments. The authors also thank Patrick Minford, Kent Matthews, and David Peel for their helpful comments and suggestions. We also got valuable feedback from seminar participants at the Economic Analysis Department University of Alicante, and Lancaster University. All remaining errors are the sole responsibility of the authors. Ivan Paya acknowledges financial support from the Spanish Ministerio de Educacion y Ciencia Research Project SEJ2005‐02829/ECON.
ObjectType-Article-2
SourceType-Scholarly Journals-1
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ISSN:0022-2879
1538-4616
DOI:10.1111/j.1538-4616.2007.00077.x