Has the inflation process changed?

Cecchetti, Stephen G.; Debelle, Guy

doi:10.1111/j.1468-0327.2006.00160.x

Cited by 79 publications

(36 citation statements)

References 42 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…Different reference norms and/or intersectoral differences in the importance of norms can be reflected in the dispersion of the aggregate measures of persistence across countries. In this context it is, for example, interesting to note that the results in Cecchetti and Debelle (2006, Table 2) indicate that Austria is one of the countries with the lowest degree of inflation persistence (rank 17 among 19 industrialized countries). This could at least partly reflect the influence of wage leadership.…”

Section: Discussionmentioning

confidence: 96%

“…Taken together, the theoretical and empirical results suggest that differences in reference norms or the existence of wage leadership can be at least partly responsible for the observed cross‐country differences in inflation persistence and in wage rigidity (cf. Cecchetti and Debelle, 2006; Dickens et al., 2007; Holden and Wulfsberg, 2007). Different reference norms and/or intersectoral differences in the importance of norms can be reflected in the dispersion of the aggregate measures of persistence across countries.…”

Section: Discussionmentioning

confidence: 99%

“…This phenomenon could thus be partly responsible for the fact that different countries with apparently quite similar labor market institutions show considerably different degrees of inflation persistence (cf. Cecchetti and Debelle, 2006).…”

Section: A Model With Wage Staggering and Reference Normsmentioning

confidence: 99%

“…Third, underlying differences in reference norms could also be responsible for the observed cross‐country differences in inflation persistence and wage rigidities (cf. Cecchetti and Debelle, 2006; Dickens et al., 2007; Knell, 2010).…”

Section: Introductionmentioning

confidence: 99%

See 3 more Smart Citations

Reference Norms, Staggered Wages, and Wage Leadership: Theoretical Implications and Empirical Evidence*

Knell

Stiglbauer

2012

Int Economic Review

View full text Add to dashboard Cite

This article presents an extension of the Taylor model with staggered wages in which wage setting is also influenced by reference norms. We show that reference norms can considerably increase the persistence of inflation but that the size of this effect depends on the exact definition (e.g., external vs. internal, symmetric vs. asymmetric norms). Using data on collectively bargained wages in Austria from 1980 to 2006 we show that wage setting is strongly influenced by reference norms, that external norms seem to matter more than internal norms, and that there is a clear indication for the existence of wage leadership (asymmetric norms).

show abstract

Section: Discussionmentioning

confidence: 96%

Section: Discussionmentioning

confidence: 99%

Section: A Model With Wage Staggering and Reference Normsmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

Reference Norms, Staggered Wages, and Wage Leadership: Theoretical Implications and Empirical Evidence*

Knell

Stiglbauer

2012

Int Economic Review

View full text Add to dashboard Cite

show abstract

“…Third, inflation dynamics affect the conduction of the monetary policy analysis because the cost of disinflation is different when inflation shows an I (0) or I (1) behaviour. High persistent inflation will incur a higher policy cost (e.g., Cecchetti and Debelle, 2006). Finally, inflation dynamics is central to the study of the correlation between inflation and unemployment embedded in the Phillips curve.…”

Section: Discussionmentioning

confidence: 99%

A Revisit to the Stationarity of Oecd Inflation: Evidence From Panel Unit-Root Tests and the Covariate Point Optimal Test*

Tsong

Lee

2012

Japanese Economic Review

View full text Add to dashboard Cite

This paper re‐examines the stationarity of inflation rates in 19 Organisation for Economic Cooperation and Development countries with the use of cross‐sectional information. We employ the panel unit‐root tests that allow for cross‐sectional dependency and the covariate point optimal test. These tests have high power in common due to the exploitation of cross‐sectional information, and they can assist mutually to draw a concrete conclusion on inflation dynamics for all series in the panel. Our empirical results show that allowing for cross‐sectional dependency rejects the null hypothesis that all series in the panel have a unit root, implying that there is at least one stationary series in the panel. With the help of the results of the covariate test, we can distinguish the panel into a group of stationary and a group of non‐stationary series. For robustness, the two groups of series are re‐confirmed by the panel tests. Our results reveal evidence of mean reversion in inflation for 15 of 19 countries, which is significantly stronger as compared to that obtained by the state‐of‐the‐art univariate unit‐root tests.

show abstract

Testing unit roots, structural breaks and linearity in the inflation rates of the G7 countries with fractional dependence techniques

Gil-Alana

Yaya

Solademi

2016

Appl Stoch Models Bus & Ind

View full text Add to dashboard Cite

In this paper, we have examined the inflation rates in the Group of Seven countries, investigating issues such as the existence of unit roots, structural breaks, fractional integration and potential non-linearities using a fractional dependence (FD) approach based on Chebyshev polynomials in time. This robust FD approach allows one to test for persistence as well as non-linearity of the series. We first tested for stationarity and structural breaks using classical approaches and observed inconclusive results with regard to the stationarity levels of the series. Using Bai-Perron tests, we actually confirmed significant structural breaks, even up to five, in each of the inflation series. However, noting that structural breaks are significantly related to fractional differentiation, this latter approach was also conducted. Here, we observed that the estimates of the differencing parameter were quite stable across time, and evidence of unit roots was found in the cases of the UK, Canada, France, Japan and the USA; for Germany, we found some evidence of mean reversion, while estimates of d above 1 were found in the case of Italy. On the other hand, non-linear deterministic trends were clearly rejected in all cases. ‡ Asymmetry is a property explaining unequal movements of asset prices (stocks, inflation, oil prices, exchange rates, etc.) between equilibrium state to 'up' market and 'down' market to equilibrium state. There are quite a number of papers on linear unit root testing inflation rates. Starting with Lai [3] who applied the modified Dickey-Fuller (DF) unit root test of Park and Fuller [4], testing nonstationarity in the inflation rates of the Group of Seven (G7) countries, he concluded that inflation rates were stationary. Cook [5] also found stationarity for the US inflation rates when he applied the DF [6, 7] test. Charemza et al. [8] considered inflation rates for a selected group of 93 countries, applying the augmented DF (ADF, [6,7]) tests, and found nonstationarity of the inflation series. Because of the different sample sizes considered in the aforementioned papers, the authors have obtained contradictory results.Structural breaks may affect the stationarity level of the time series [9]. § Zivot and Andrews [10] proposed a unit root test that selects the breakpoint endogenously from the data. This test has been extended to include the case of two break points in both the level and the trend series [11]. Multiple structural breaks tests have been proposed in Bai and Perron [12,13]. Caporale and Paxton [14] investigated stationarity of the inflation rates for five Latin American countries using the ADF unit root test and the unit root test with multiple structural breaks of Bai and Perron [12,13]. These authors found stationarity for three countries with the ADF tests, whereas the unit root test with structural breaks pointed to stationarity for all five inflation series.Some studies have thought of inflation as a dynamic non-linear process, and in this case, non-linear approaches have been conducte...

show abstract

Has the inflation process changed?

Cited by 79 publications

References 42 publications

Reference Norms, Staggered Wages, and Wage Leadership: Theoretical Implications and Empirical Evidence*

Reference Norms, Staggered Wages, and Wage Leadership: Theoretical Implications and Empirical Evidence*

A Revisit to the Stationarity of Oecd Inflation: Evidence From Panel Unit-Root Tests and the Covariate Point Optimal Test*

Testing unit roots, structural breaks and linearity in the inflation rates of the G7 countries with fractional dependence techniques

Contact Info

Product

Resources

About