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
Online Access:	Get full text
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