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On the Relationship between Inflation Persistence and Temporal Aggregation
Author(s) -
PAYA IVAN,
DUARTE AGUSTIN,
HOLDEN KEN
Publication year - 2007
Publication title -
journal of money, credit and banking
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.763
H-Index - 108
eISSN - 1538-4616
pISSN - 0022-2879
DOI - 10.1111/j.1538-4616.2007.00077.x
Subject(s) - persistence (discontinuity) , inflation (cosmology) , econometrics , economics , gdp deflator , real gross domestic product , physics , engineering , geotechnical engineering , theoretical physics
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.