Inflation Persistence in Austria – Aggregate and Sectoral Evidence. Preliminary Final Report
Projektberichte (abgeschlossen), Dezember 2005
HVW, Project No. 815/4001 6174
Studie von: Österreichisches Institut für Wirtschaftsforschung
Mit finanzieller Unterstützung von: Oesterreichische Nationalbank, Volkswirtschaftliche Abteilung
Based on univariate AR models, the sum of the AR-parameters is defined as a measure of persistence. As for other OECD countries estimates for a long sample period (almost 40 years) show a very high degree of inflation persistence and the presence of a unit root in the inflation process could not be rejected. We find evidence that three structural breaks occurred in the inflation process: in the mid 1970s, 1980s and 1990s. If these structural breaks are taken into account, the persistence measures are dramatically smaller. We further investigate the influence of the data frequency, treatment of seasonality, the estimation methods, and the aggregation level of the CPI on both the evidence of structural breaks and the degree of inflation persistence.
Keywords:
Forschungsbereich:Makroökonomie und öffentliche Finanzen
Sprache:Englisch