Measuring inflation persistence: a structural time series approach

Maarten Dossche and Gerdie Everaert

No 70, Working Paper Research from National Bank of Belgium

Abstract: Time series estimates of inflation persistence incur an upward bias if shifts in the inflation target of the central bank remain unaccounted for. Using a structural time series approach we measure different sorts of inflation persistence allowing for an unobserved timevarying inflation target. Unobserved components are identified using Kalman filtering and smoothing techniques. Posterior densities of the model parameters and the unobserved components are obtained in a Bayesian framework based on importance sampling. We find that inflation persistence, expressed by the halflife of a shock, can range from 1 quarter in case of a costpush shock to several years for a shock to longrun inflation expectations or the output gap.

Keywords: Inflation persistence; inflation target; Kalman filter; Bayesian analysis. (search for similar items in EconPapers)
JEL-codes: C11 C13 C22 C32 E31 (search for similar items in EconPapers)
Pages: 49 pages
Date: 2005-06
New Economics Papers: this item is included in nep-cba, nep-ecm, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (42)

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Related works:
Working Paper: Measuring inflation persistence: a structural time series approach (2005)
Working Paper: Measuring inflation persistence: A structural time series approach (2005)
Working Paper: Measuring inflation persistence: a structural time series approach (2005)
Working Paper: Measuring Inflation Persistence: A Structural Time Series Approach (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:nbb:reswpp:200506-1

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