On the relationship between inflation persistence and temporal aggregation

Paya, I and Duarte, A and Holden, K (2006) On the relationship between inflation persistence and temporal aggregation. Working Paper. The Department of Economics, Lancaster University.

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Abstract

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

Item Type:	Monograph (Working Paper)
Uncontrolled Keywords:	Aggregation ; Inflation ; Persistence
Subjects:	UNSPECIFIED
Departments:	Lancaster University Management School > Economics
ID Code:	48856
Deposited By:	ep_importer_pure
Deposited On:	11 Jul 2011 22:16
Refereed?:	No
Published?:	Published
Last Modified:	27 Jul 2012 01:16
Identification Number:
URI:	http://eprints.lancs.ac.uk/id/eprint/48856

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