Insight into Inflation: Persistence, Variability and Predictability

摘要

This paper provides a macroeconomic analysis of US inflation and its persistence from 1947 to 2007 and three subperiods. An ARFIMA-GARCH model is estimated to capture the stylized facts of inflation dynamics and investigate the causalities between persistence and the level of aggregate inflation, and persistence and inflation uncertainty, as well as predictability of inflation and its volatility. The main findings point to a rather low inflation persistence, a time-varying persistence positively correlated with inflation reflecting monetary policy switches and a moderate predictability of inflation and its volatility.