The changing dynamics of US inflation persistence: a quantile regression approach
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Maik H. Wolters
und
Peter Tillmann
Abstract
We examine both the degree and the structural stability of inflation persistence at different quantiles of the conditional inflation distribution. Previous research focused exclusively on persistence at the conditional mean of the inflation rate. As economic theory provides reasons for inflation persistence to differ across conditional quantiles, this is a potentially severe constraint. Conventional studies of inflation persistence cannot identify changes in persistence at selected quantiles that leave persistence at the mean of the distribution unchanged. Based on post-war US data we indeed find robust evidence for a structural break in persistence at all quantiles of the inflation process in the early 1980s. While prior to the 1980s inflation was not mean reverting, quantile autoregression based unit root tests suggest that since the end of the Volcker disinflation the unit root can be rejected at every quantile of the conditional inflation distribution.
Acknowledgment
We thank the editor Bruce Mizrach, two anonymous referees, Tim Oliver Berg, Francesco Bianchi, Uwe Hassler, Mehdi Hosseinkouchack, Vivien Lewis, Barbara Meller and Johannes Stroebel as well as seminar participants at the DIW Berlin, the IWH Halle, the RWTH Aachen, the University of Osnabrück, the 2012 Spring Meeting of Young Economists (Mannheim) and the 18th Conference on Computing in Economics and Finance (Prague) for very helpful discussions and comments.
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Supplemental Material
The online version of this article (DOI: 10.1515/snde-2013-0080) offers supplementary material, available to authorized users.
©2015 by De Gruyter
Artikel in diesem Heft
- Frontmatter
- Estimating point and density forecasts for the US economy with a factor-augmented vector autoregressive DSGE model
- The limit distribution of evolving strategies in financial markets
- The changing dynamics of US inflation persistence: a quantile regression approach
- The effects of monetary policy regime shifts on the term structure of interest rates
- Endogenous technical change, employment and distribution in the Goodwin model of the growth cycle
- Do monetary policy shocks generate TAR or STAR dynamics in output?
Artikel in diesem Heft
- Frontmatter
- Estimating point and density forecasts for the US economy with a factor-augmented vector autoregressive DSGE model
- The limit distribution of evolving strategies in financial markets
- The changing dynamics of US inflation persistence: a quantile regression approach
- The effects of monetary policy regime shifts on the term structure of interest rates
- Endogenous technical change, employment and distribution in the Goodwin model of the growth cycle
- Do monetary policy shocks generate TAR or STAR dynamics in output?
