Abstract
We investigate the persistence in the inflation series for 13 OECD countries that explicitly adopted an inflation targeting (IT) regime before 1992. Mean reversion and stationarity as well as mean reversion and non-stationarity exist in the pre-IT period, while mean reversion and stationarity characterize the post-IT period. Inflation exhibits fractional integration behavior over the entire sample period, the pre-IT period, and, in most cases, also in the post-IT period. The adoption of IT coincides with a structural break in all inflation series and marks a decrease in the point estimates of inflation persistence in most countries.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
