Proceedings of the 4th Annual International Conference on Management, Economics and Social Development (ICMESD 2018)

Insight into Inflation: Persistence, Variability and Predictability

Authors
Ning Zeng
Corresponding Author
Ning Zeng
Available Online May 2018.
DOI
10.2991/icmesd-18.2018.158How to use a DOI?
Keywords
Inflation, Persistence, Variability, Predictability.
Abstract

This paper provides a macroeconomic analysis of US inflation and its persistence from 1947 to 2007 and three subperiods. An ARFIMA-GARCH model is estimated to capture the stylized facts of inflation dynamics and investigate the causalities between persistence and the level of aggregate inflation, and persistence and inflation uncertainty, as well as predictability of inflation and its volatility. The main findings point to a rather low inflation persistence, a time-varying persistence positively correlated with inflation reflecting monetary policy switches and a moderate predictability of inflation and its volatility.

Copyright
© 2018, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the 4th Annual International Conference on Management, Economics and Social Development (ICMESD 2018)
Series
Advances in Economics, Business and Management Research
Publication Date
May 2018
ISBN
978-94-6252-533-7
ISSN
2352-5428
DOI
10.2991/icmesd-18.2018.158How to use a DOI?
Copyright
© 2018, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - CONF
AU  - Ning Zeng
PY  - 2018/05
DA  - 2018/05
TI  - Insight into Inflation: Persistence, Variability and Predictability
BT  - Proceedings of the 4th Annual International Conference on Management, Economics and Social Development (ICMESD 2018)
PB  - Atlantis Press
SP  - 923
EP  - 929
SN  - 2352-5428
UR  - https://doi.org/10.2991/icmesd-18.2018.158
DO  - 10.2991/icmesd-18.2018.158
ID  - Zeng2018/05
ER  -