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| Cássio R. A. Alves and Márcio P. Laurini |
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| ''Measuring inflation persistence under time-varying inflation target and stochastic volatility with jumps'' |
| ( 2022, Vol. 42 No.2 ) |
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| We analyze whether the presence of a time-varying inflation target and stochastic volatility affect inflation persistence. We estimated different autoregressive specifications for inflation with and without time-varying parameters. The results show that the inflation persistence diminishes when we consider time-varying inflation target and stochastic volatility with jumps. We conclude that neglecting the time variation in inflation target and inflation volatility results in an upward biased estimation of persistence. |
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| Keywords: Inflation persistence, Time-varying parameters, Stochastic volatility |
JEL: E3 - Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data)
C1 - Econometric and Statistical Methods: General |
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| Manuscript Received : Jul 19 2021 | | Manuscript Accepted : Jun 30 2022 |
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