Assessing inflation persistence: Micro evidence on an inflation targeting economy

Finance a Uver - Czech Journal of Economics and Finance

Volumn 59, Issue 2, 2009, Pages 102-127

  Babecký, Jan ^a   Coricelli, Fabrizio ^b   Horváth, Roman ^c  

^a CZECH NATIONAL BANK   (Czech Republic)

^b UNIVERSITY OF SIENA   (Italy)

^c CHARLES UNIVERSITY   (Czech Republic)

Author keywords

Inflation dynamics; Inflation targeting; Persistence

Indexed keywords

EID: 67650166629     PISSN: 00151920     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

References (55)

1. Altissimo F, Ehrmann M, Smets F (2006): Inflation Persistence and Price Setting Behaviour in the Euro Area - A Summary of the IPN Evidence. European Central Bank Occasional Paper, no. 46.
2. Altissimo F, Mojon B, Zaffaroni P (2007): Fast Micro and Slow Macro: Can Aggregation Explain the Persistence of Inflation? European Central Bank Working Paper, no. 729.
3. Andrews D, Chen WK (1994): Approximately Median-Unbiased Estimation of Autoregressive Models. Journal of Business and Economic Statistics, 12(2):187-204.
4. Angeloni I, Aucremanne L, Ehrmann M, Galí J, Levin A, Smets F (2006): New Evidence on Inflation Persistence and Price Stickiness in the Euro Area: Implications for Macro Modeling. Journal of the European Economic Association, 4(2-3):562-574.
5. Babecký J, Dybczak K, Galuščák K (2008): Survey on Wage and Price Formation of Czech Firms. Czech National Bank Working Paper, no. 12.
6. Baye MR, Morgan J, Scholten P (2004): Price Dispersion in the Small and in the Large: Evidence from an Internet Price Comparison Site. Journal of Industrial Economics, 52(4):463-496.
7. Caglayan M, Filiztekin A, Rauh MT (2008): Inflation, Price Dispersion, and Market Structure. European Economic Review, 52(7):1187-1208.
8. Calvo G (1983): Staggered Prices in a Utility Maximizing Framework. Journal of Monetary Economics, 12(3):383-398.
9. Calvo G (2000): Notes on Price Stickiness: With Special Reference to Liability Dollarization and Credibility. University of Maryland, available at http://www.bsos.umd.edu/econ/ciecrp.htm.
10. Calvo G, Celasun O, Kumhof M (2002): A Theory of Rational Inflationary Inertia. In: Aghion P, Frydman R, Stiglitz J, Woodford M (Eds.): Knowledge, Information and Expectations in Modern Macroeconomics: In Honor of Edmund S. Phelps. Princeton, Princeton University Press.
11. Cecchetti S, Debelle G (2006): Inflation Persistence: Does it Change? Economic Policy, 21(46): 311-352.
12. Clark T (2006): Disaggregate Evidence on the Persistence in Consumer Price Inflation. Journal of Applied Econometrics, 21(5):563-587.
13. Coricelli F, Horváth R (2006): Price Setting Behaviour: Micro Evidence on Slovakia. Centre for Economic Policy Research, CEPR Discussion Paper, no. 5445.
14. Cournede B, Janovskaia A, Noord P van der (2005): Sources of Inflation Persistence in the Euro Area. OECD Economics Department Working Papers, no. 435.
15. Crucini M, Telmer CI, Zachariadis M (2005): Understanding European Real Exchange Rates. American Economic Review, 95(3):724-738.
16. Cutler J (2001): Core Inflation in the UK. Bank of England, External MPC Unit Discussion Paper, no. 3.
17. Dias D, Marquez C (2005): Using Mean Reversion as a Measure of Persistence. European Central Bank Working Paper, no. 450.
18. Dickey DA, Fuller WA (1981): Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root. Econometrica, 49(4):1057-1072.
19. Erceg C, Levin A (2003): Imperfect Credibility and Inflation Persistence, Journal of Monetary Economics, 50(4):915-944.
20. European Commission (2003): The EU Economy: 2003 Review. Brussels.
21. Fabiani S, Druant M, Hernando I, Kwapil C, Landau B, Loupias C, Martins F, Matha T, Sabbatini R, Stockman A (2006): What Firms' Surveys Tell Us about Price-Setting Behavior in the Euro Area. International Journal of Central Banking, 2(3):3-47.
22. Filer RK, Hanousek J (2003): Inflationary Bias in Mid to Late Transition Czech Republic. Economic Systems, 27(4):367-376.
23. Franta M, Saxa B, Šmídková K (2007): Inflation Persistence: Euro Area and New Member States. European Central Bank, Working Paper, no. 810.
24. Fuhrer JC, Moore G (1995): Inflation Persistence. Quarterly Journal of Economics, 110(1):127-159.
25. Gadea MD, Mayoral L (2006): The Persistence of Inflation in OECD Countries: A Fractionally Integrated Approach. International Journal of Central Banking, 2(1):52-103.
26. Galí J, Gertler M (1999): Inflation Dynamics: A Structural Econometric Analysis. Journal of Monetary Economics, 44(2):195-222.
27. Gerardi K, Shapiro AH (2007): The Effects of Competition on Price Dispersion in the Airline Industry: A Panel Analysis. Federal Reserve Bank of Boston Working Paper, no. 7.
28. Granger C (1980): Long Memory Models and Aggregation of Dynamic Models. Journal of Econometrics, 14(2):227-238.
29. Hanousek J, Filer RK (2004a): Consumers' Opinion of Inflation Bias Due to Quality Improvements in Transition in the Czech Republic. Economic Development and Cultural Change, 53(1):235-254.
30. Hanousek J, Filer RK (2004b): Substitution Biases in Price Indexes During Transition. Statistical Journal, 21(2):153-163.
31. Jonas J, Mishkin F (2003): Inflation Targeting in Transition Countries: Experience and Prospects. NBER WP, no. 9667.
32. Konieczny J, Skrzypacz A (2005): The Behaviour of Price Dispersion in a Natural Experiment. Journal of Monetary Economics, 52(3): 621-632.
33. Kotlán V, Navrátil D (2003): Inflation Targeting as a Stabilization Tool: Its Design and Performance in the Czech Republic. Finance a uver - Czech Journal of Economics and Finance, 53(5):220-242.
34. Kwiatkowski D, Phillips PCB, Schmidt P, Shin Y (1992): Testing the Null of Stationarity against the Alternative of Unit Root. Journal of Econometrics, 54(1-3):159-178.
35. Lanne M, Lütkepohl H, Saikkonen P (2002): Comparison of Unit Root Tests for Time Series with Level Shifts. Journal of Time Series Analysis, 23(6):667-685.
36. Leiter DB, Warin T (2007): An Empirical Study of Price Dispersion in Homogenous Goods Markets. Middlebury College Economics Discussion Paper, no. 10.
37. Levin A, Piger J (2004): Is Inflation Persistence Intrinsic in Industrial Countries? The Federal Reserve Bank of Saint Louis, Working Paper, no. 023E.
38. Levin A, Natalucci F, Piger J (2004): Explicit Inflation Objectives and Macroeconomic Outcomes. European Central Bank Working Paper, no. 383.
39. Lunnemann P, Matha T (2005): Regulated and Services' Prices and Inflation Persistence. European Central Bank Working Paper, no. 466.
40. Mankiw N, Reis R (2002): Sticky Information Versus Sticky Prices: A Proposal to Replace the New Keynesian Phillips Curve. Quarterly Journal of Economics, 117(4):1295-1328.
41. Marquez C (2004): Inflation Persistence: Facts or Artefacts? European Central Bank Working Paper, no. 371.
42. Moulton BR, Moses KE (1997): Addressing the Quality Change Issue in the Consumer Price Index. Brookings Papers on Economic Activity, (1):305-366.
43. Nimark K (2005): Calvo Pricing and Imperfect Common Knowledge - A Forward Looking Model of Rational Inflation Inertia. European Central Bank Working Paper, no. 474.
44. O'Reilly G, Whelan K (2005): Has Euro-Area Inflation Persistence Changed Over Time? Review of Economics and Statistics, 87(4):807-820.
45. Orphanides A, Williams J (2003): Imperfect Knowledge, Inflation Expectations, and Monetary Policy. In: Woodford M (Ed.): Inflation Targeting. Chicago, University of Chicago Press.
46. Phillips PCB, Perron P (1988): Testing for a Unit Root in Time Series Regression. Biometrika, 75(2): 335-346.
47. Ratfai A (2006): Linking Individual and Aggregate Price Changes. Journal of Money, Credit and Banking, 38(8):2199-2224.
48. Saikkonen P, Lütkepohl H (2002): Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time. Econometric Theory, 18(2):343-362.
49. Sargent T (1999): The Conquest of American Inflation. Princeton, Princeton University Press.
50. Smith JK (2004): Better Measures of Core Inflation? Lafayette College Working Paper Series, September.
51. Smith JK (2005): Inflation Targeting and Core Inflation. Canadian Journal of Economics, 38(3): 1018-1036.
52. Taylor J (1980): Aggregate Dynamics and Staggered Contracts. Journal of Political Economy, 88(1):1-23.
53. Vega M, Winkelried D (2005): Inflation Targeting and Inflation Behavior: A Successful Story? International Journal of Central Banking, 1(3):153-175.
54. Yigit T (2007): Inflation Targeting: An Indirect Approach to Assess the Direct Impact. Bilkent University Working Paper, no. 6.
55. Zaffaroni P (2004): Contemporaneous Aggregation of Linear Dynamic Models in Large Economies. Journal of Econometrics, 120(1):75-102.