On the dynamics of international inflation

Giovanni Caggiano, Efrem Castelnuovo

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4 Citations (Scopus)

Abstract

We investigate the dynamic properties of inflation in 20 OECD countries with a novel approach based on the autocorrelation function. We find evidence in favor of long memory and nonlinearity. Linear autoregressive models are shown to be misspecified.

Original languageEnglish
Pages (from-to)189-191
Number of pages3
JournalEconomics Letters
Volume112
Issue number2
DOIs
Publication statusPublished - Aug 2011
Externally publishedYes

Keywords

  • Aggregation
  • Heterogeneity
  • Inflation dynamics
  • Long memory

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