Disaggregate evidence on the persistence of consumer price inflation

Journal of Applied Econometrics

Volumn 21, Issue 5, 2006, Pages 563-587

  Clark, Todd E ^a  

^a FEDERAL RESERVE BANK OF KANSAS CITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33747514509     PISSN: 08837252     EISSN: 10991255     Source Type: Journal    
DOI: 10.1002/jae.859     Document Type: Review

References (49)

1. Altissimo F, Mojon B, Zaffaroni F. 2004. Fast and slow macro: can aggregation explain the persistence of inflation? Manuscript, European Central Bank.
2. Andrews DWK. 1993. Tests for parameter instability and structural change with unknown change point. Econometrica 61: 821-856.
3. Andrews DWK, Chen WK. 1994. Approximately median-unbiased estimation of autoregressive models. Journal of Business and Economic Statistics 12: 187-204.
4. Bai J, Perron P. 1998. Estimating and testing linear models with multiple structural changes. Econometrica 66: 47-78.
5. Bai J, Perron P. 2003. Computation and analysis of multiple structural change models. Journal of Applied Econometrics 18: 1-22.
6. Bai J, Lumsdaine RL, Stock JH. 1998. Testing for and dating common breaks in multivariate time series. Review of Economic Studies 65: 395-432.
7. Barsky R. 1987. The Fisher hypothesis and the forecastability and persistence of inflation. Journal of Monetary Economics 19: 3-24.
8. Barsky R, House CL, Kimball M. 2003. Do flexible goods prices undermine sticky price models? NBER Working Paper #9832.
9. Benati L. 2002. Investigating inflation persistence across monetary regimes. Manuscript, Bank of England.
10. Benati L, Kapetanios G. 2002. Structural breaks in inflation dynamics. Manuscript, Bank of England.
11. Bernanke BS, Blinder AS. 1992. The federal funds rate and the channels of monetary transmission. American Economic Review 82: 901-921.
12. Bus M, Klenow PJ. 2004. Some evidence on the importance of sticky prices. Journal of Political Economy 112: 947-985.
13. Boivin J. 2004. Has U.S. monetary policy changed? Evidence from drifting coefficients and real-time data. Manuscript, Columbia University.
14. Boivin J, Ng S. 2003. Are more data always better for factor analysis? Journal of Econometrics.
15. Brainard W, Perry G. 2000. Making policy in a changing world. In Economic Events, Ideas, and Policies: The 1960s and After, Perry G, Tobin J (eds). Brookings Institution: Washington, DC.
16. Bryan MF, Cecchetti SG. 1993. The Consumer Price Index as a measure of inflation. Federal Reserve Bank of Cleveland, Economic Review, Fourth Quarter.
17. Caballero RJ, Engel EMRA. 2003. Adjustment is much slower than you think. NBER Working Paper #9898.
18. Calvo GA. 1983. Staggered pricing in a utility maximizing framework. Journal of Monetary Economics 12: 383-398.
19. Christiane LJ, Eichenbaum M, Evans CL. 1996. The effects of monetary policy shocks: evidence from the flow of funds. Review of Economics and Statistics 78: 16-34.
20. Clark TE. 1999. The responses of prices at different stages of production to monetary policy shocks. Review of Economics and Statistics 81: 420-433.
21. Clark TE. 2003. Disaggregate evidence on the persistence of consumer price inflation. Research Working Paper 03-11, Federal Reserve Bank of Kansas City.
22. Cogley T, Sargent TJ. 2001. Evolving post-World War II U.S. inflation dynamics. NBER Macroeconomics Annual 16: 331-373.
23. Cogley T, Sargent TJ. 2003. Drifts and volatilities: monetary policies and outcomes in the post-WWII U.S. Review of Economic Dynamics.
24. Diebold FX, Chen C. 1996. Testing structural stability with endogenous breakpoint: a size comparison of analytic and bootstrap procedures. Journal of Econometrics 70: 221-241.
25. Dow JP. 1994. Measuring inflation using multiple price indexes. Manuscript, University of CaliforniaRiverside. Elliott G, Muller UK. 2003. Optimally testing general breaking processes in linear time series models.Manuscript, UCSD.
26. Elliott G, Rothenberg TJ, Stock JH. 1996. Efficient tests for an autoregressive unit root. Econometrica 64: 813-836.
27. Erceg C, Levin AT. 2002. Optimal monetary policy with durable and non-durable goods. International Finance Discussion Paper #748, Board of Governors of the Federal Reserve System.
28. Erceg C, Levin AT. 2003. Imperfect credibility and inflation persistence. Journal of Monetary Economics 50: 889-914.
29. Hansen BE. 1999. The grid bootstrap and the autoregressive model. Review of Economics and Statistics 81: 594-607.
30. Hansen BE. 2000. Testing for structural change in conditional models. Journal of Econometrics 97: 93-116.
31. Kapetanios G, Marcellino M. 2003. A comparison of estimation methods for dynamic factor models of large dimensions. Working Paper No. 489, Queen Mary University of London.
32. Kozicki S, Tinsley PA. 2001. Shifting endpoints in the term structure of interest rates. Journal of Monetary Economics 15: 613-652.
33. Kozicki S, Tinsley PA. 2002. Alternative sources of the lag dynamics of inflation. In Proceedings of a Conference on Price Adjustment and Monetary Policy, Bank of Canada, pp. 3-47.
34. Levin AT, Piger J. 2003. Is inflation persistence intrinsic in industrial economies? Working Paper 2002-023B, Federal Reserve Bank of St. Louis.
35. Lunnemann P, Matha T. 2004. How persistent is disaggregate inflation? An analysis across ER15 countries and HICP sub-indices. Manuscript, Banque centrale du Luxembourg.
36. Ng S, Perron P. 2001. Lag length selection and the construction of unit root tests with good size and power. Econometrica 69: 1519-1554.
37. Nyblom J. 1989. Testing for the constancy of parameters over time. Journal of the American Statistical Association 84: 223-230.
38. Perron P, Ng S. 1996. Useful modifications to unit root tests with dependent errors and their local asymptotic properties. Review of Economic Studies 63: 435-465.
39. Pivetta F, Reis R. 2003. The persistence of inflation in the United States. Manuscript, Harvard University.
40. Quah D, Sargent TJ. 1993. A dynamic index model for large cross sections. In Business Cycles, Indicators, and Forecasting, Stock J, Watson M (eds). University of Chicago Press: Chicago.
41. Shintani M. 2003. Finite sample performance of principal components estimators for dynamic factor models. Manuscript, Vanderbilt University.
42. Sims CA. 2001. Comment on 'Evolving post-World War II U.S. inflation dynamics'. NBER Macroeconomics Annual 16: 373-379.
43. Stine RA. 1987. Estimating properties of autoregressive forecasts. Journal of the American Statistical Association 82: 1072-1078.
44. Stock JH. 2001. Comment on 'Evolving post-World War II U.S. inflation dynamics'. NBER Macroeconomics Annual 16: 379-387.
45. Stock JH, Watson MW. 2002a. Macroeconomic forecasting using diffusion indexes. Journal of Business and Economic Statistics 20: 147-162.
46. Stock JH, Watson MW. 2002b. Has the business cycle changed and why? NBER Macroeconomics Annual 17: 159-218.
47. Taylor J. 2000. Low inflation, pass-through, and the pricing power of firms. European Economic Review 44: 1389-1408.
48. Whelan K. 2002. A guide to the use of chain aggregated NIPA data. Review of Income and Wealth 48: 217-233.
49. Yoon G. 2001. Inflation persistence with structural breaks. Manuscript, Pusan National University.