Inflation Persistence Before and After Inflation Targeting: A Fractional Integration Approach

摘要

We investigate the persistence in the inflation series for 13 OECD countries that explicitly adopted an inflation targeting (IT) regime before 1992. Mean reversion and stationarity as well as mean reversion and non-stationarity exist in the pre-IT period, while mean reversion and stationarity characterize the post-IT period. Inflation exhibits fractional integration behavior over the entire sample period, the pre-IT period, and, in most cases, also in the post-IT period. The adoption of IT coincides with a structural break in all inflation series and marks a decrease in the point estimates of inflation persistence in most countries.