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- W3141960898 abstract "Are there structural breaks in the dynamics of the inflation process? Does inflation possess a unit root? Is inflation a highly persistent process? We use tests for multiple structural breaks at unknown points in the sample, and a newly developed test for unit roots allowing for up to m structural breaks, to investigate breaks in inflation dynamics for 23 inflation series from 18 countries (plus the eurozone), and their implications for the serial correlation properties of inflation. All inflation series display structural breaks, often highly suggestive as they appear to broadly coincide with readily identifiable macroeconomic events, like the breakdown of Bretton Woods, the Volcker disinfl ation in the U.S., and the introduction of inflation targeting in several countries. Allowing for structural breaks, the null of a unit root can be strongly rejected for the vast majority of the series. Finally, evidence seems to suggest that, in general, inflation is not a highly persistent process. We discuss the implications of our rejection of a unit root for Mishkin’s explanation of time-variation in the extent of the Fisher effect. We argue that Mishkin’s theory, based on the notion that inflation and interest rates are cointegrated, is difficult to defend in the light of our evidence against a unit root for almost all inflation series. The alternative Ibrahim and Williams (1978)-Barthold and Dougan (1986)-Barsky (1987) explanation, based on the notion of changes in the extent of inflation forecastability along the sample, is on the other hand compatible with our findings." @default.
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- W3141960898 date "2003-01-01" @default.
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- W3141960898 title "Structural Breaks in Inflation Dynamics" @default.
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