TY  - UNPD
A1  - Tillmann, Peter
A1  - Wolters, Maik Hendrik
T1  - The changing dynamics of US inflation persistence: a quantile regression approach
T2  - Christian-Albrechts-Universität Kiel, Department of Economics: Economics working paper ; No. 2014,09
N2  - We examine both the degree and the structural stability of inflation persistence at different quantiles of the conditional inflation distribution. Previous research focused exclusively on persistence at the conditional mean of the inflation rate. As economic theory provides reasons for inflation persistence to differ across conditional quantiles, this is a potentially severe constraint. Conventional studies of inflation persistence cannot identify changes in persistence at selected quantiles that leave persistence at the median of the distribution unchanged. Based on post-war US data we indeed find robust evidence for a structural break in persistence at all quantiles of the inflation process in the early 1980s. While prior to the 1980s inflation was not mean reverting, quantile autoregression based unit root tests suggest that since the end of the Volcker disinflation the unit root can be rejected at every quantile of the conditional inflation distribution.
KW  - inflation persistence
KW  - quantile regressions
KW  - structural breaks
KW  - unit root test
Y1  - 2014
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/34722
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-347225
UR  - http://www.econstor.eu/bitstream/10419/97319/1/786827815.pdf
SN  - 2193-2476
IS  - May 30, 2014
PB  - Univ., Dep. of Economics
CY  - Kiel
ER  -