You are not currently logged in.
Access JSTOR through your library or other institution:
Inflation Dynamics in the U.S.: Global but Not Local Mean Reversion
BOB NOBAY, IVAN PAYA and DAVID A. PEEL
Journal of Money, Credit and Banking
Vol. 42, No. 1 (February 2010), pp. 135-150
Published by: Wiley
Stable URL: http://www.jstor.org/stable/20685091
Page Count: 16
You can always find the topics here!Topics: Economic inflation, Forecasting models, Statistical models, Modeling, Economic growth models, Statistical forecasts, Random walk, Credit, Bank credit, Economic models
Were these topics helpful?See somethings inaccurate? Let us know!
Select the topics that are inaccurate.
Preview not available
A stylized fact of U.S. inflation dynamics is one of extreme persistence and possible unit root behavior. If so, the implications for macroeconomics and monetary policy are somewhat unpalatable. Our econometric analysis proposes a parsimonious univariate representation of the inflation process for the last 60 years, the nonlinear exponential smooth autoregressive. The empirical results confirm a number of the key features such as global stationarity, local unit root behavior, and lower persistence in the post-1983 period than in the pre-1983 period. We compare the forecasting ability of our model with that of competing univariate models and find that the nonlinear model outperforms the linear autoregressive model in the pre-1983 period and the random walk in the post-1983 period at short horizons.
Journal of Money, Credit and Banking © 2010 Wiley