Has Euro-area inflation persistence changed over time?

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dc.contributor.author O'Reilly, Gerard en
dc.contributor.author Whelan, Karl
dc.date.accessioned 2008-06-09T14:19:40Z
dc.date.available 2008-06-09T14:19:40Z
dc.date.copyright Copyright 2005 by the President and Fellows of Harvard College and the Massachusetts Institute of Technology en
dc.date.issued 2005-11
dc.identifier.citation Review of Economics and Statistics en
dc.identifier.issn 0034-6535 (print)
dc.identifier.issn 1530-9142 (online)
dc.identifier.uri http://hdl.handle.net/10197/211
dc.description.abstract This paper analyzes the stability over time of the econometric process for euro-area inflation since 1970, focusing in particular on the behavior of the so-called persistence parameter (the sum of the coefficients on the lagged dependent variables). Perhaps surprisingly, in light of the Lucas critique, our principal finding is that there appears to be relatively little instability in the parameters of the euro-area inflation process. Full-sample estimates of the persistence parameter are generally close to 1, and we fail to reject the hypothesis that this parameter has been stable over time. We discuss how these results provide some indirect evidence against rational expectations models with strong forward-looking elements, such as the New Keynesian Phillips curve. en
dc.format.extent 4304 bytes
dc.format.mimetype application/pdf
dc.language.iso en en
dc.publisher MIT Press en
dc.rights.uri Publisher's copyright contact details en
dc.rights.uri http://www.mitpressjournals.org/page/copyright_permissions en
dc.subject.lcsh Inflation (Finance)--Europe en
dc.subject.lcsh Rational expectations (Economic theory) en
dc.subject.lcsh Inflation (Finance)--Mathematical models en
dc.title Has Euro-area inflation persistence changed over time? en
dc.type Journal Article en
dc.internal.authorurl Karl Whelan (web page) en
dc.internal.authorurl http://www.karlwhelan.com/ en
dc.internal.authorcontactother Email: karl.whelan@ucd.ie; Tel: 353 1 716 8239 en
dc.internal.authorid UCD0026 en
dc.internal.availability Full text available en
dc.internal.webversions Publisher's version en
dc.internal.webversions http://dx.doi.org/10.1162/003465305775098125 en
dc.internal.webversions Online provider's version en
dc.internal.webversions http://www.swetswise.com/FullTextProxy/swproxy?url=http%3A%2F%2Fwww.mitpressjournals.org%2Fdoi%2Fpdf%2F10.1162%2F003465305775098125&ts=1213020138114&cs=1542880965&userName=8240002.ipdirect&emCondId=119687&articleID=27498432&yevoID=1696344&titleID=175511&referer=2&remoteAddr=137.43.95.155 en
dc.status Peer reviewed en
dc.identifier.volume 87 en
dc.identifier.issue 4 en
dc.identifier.startpage 709 en
dc.identifier.endpage 720 en
dc.identifier.doi 10.1162/003465305775098125
dc.neeo.contributor O'Reilly|Gerard|aut|
dc.neeo.contributor Whelan|Karl|aut|UCD0026


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