On the Relationship between Inflation Persistence and Temporal Aggregation


  • We are grateful to the editor and an anonymous referee for their constructive comments. The authors also thank Patrick Minford, Kent Matthews, and David Peel for their helpful comments and suggestions. We also got valuable feedback from seminar participants at the Economic Analysis Department University of Alicante, and Lancaster University. All remaining errors are the sole responsibility of the authors. Ivan Paya acknowledges financial support from the Spanish Ministerio de Educacion y Ciencia Research Project SEJ2005-02829/ECON.


This paper examines the impact of temporal aggregation on alternative definitions of inflation persistence. Using the CPI and the core PCE deflator of the United States, our results show that temporal aggregation from the monthly to the quarterly to the annual frequency induces persistence in the inflation series.