Uporczywość inflacji i jej komponentów – badanie empiryczne dla Polski
Inflation Persistence at Disaggregated Level – Empirical Study for Poland
Author(s): Katarzyna Hertel, Agnieszka LeszczyńskaSubject(s): Economy, National Economy, Public Finances
Published by: Główny Urząd Statystyczny
Keywords: inflation persistence; disaggregated price indices; long memory; FDF test
Summary/Abstract: The paper aims to evaluate inflation persistence at a disaggregated level. The measures of inflation persistence used in the exercise rely solely on time series methods of AR and long memory models (cf: Marques, 2004; Pivetta, Reis, 2007; Baillie, 1996) and are applied to Polish CPI and its 11 components. The choice between those two frameworks has been based on the results of the FDF test (Dolado, Gonzalo, Mayoral, 2006). The second part of the study consisted in investigation of the dynamics of persistence. An experiment of rolling window regressions revealed a decrease in the persistence of most of the price indices. A plausible source of the decline was a structural change, which occurred during the introduction of direct inflation targeting by the monetary authorities in Poland.
Journal: Przegląd Statystyczny. Statistical Review
- Issue Year: 60/2013
- Issue No: 2
- Page Range: 187-210
- Page Count: 24
- Language: Polish