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.
On the Relationship between Inflation Persistence and Temporal Aggregation
Article first published online: 28 AUG 2007
Journal of Money, Credit and Banking
Volume 39, Issue 6, pages 1521–1531, September 2007
How to Cite
PAYA, I., DUARTE, A. and HOLDEN, K. (2007), On the Relationship between Inflation Persistence and Temporal Aggregation. Journal of Money, Credit and Banking, 39: 1521–1531. doi: 10.1111/j.1538-4616.2007.00077.x
- Issue published online: 28 AUG 2007
- Article first published online: 28 AUG 2007
- Received August 5, 2005; and accepted in revised form June 5, 2006.
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.