Dynamics of Persistence in International Inflation Rates
使用分数积分过程研究美国通胀持续性的动态变化，发现过去二十年中美国通胀持续性明显下降，并解释了以往研究结论分歧的原因，还比较了其他G7经济体的通胀持续性变化。
Characteristics of inflation play a key role in policy formulation and market analysis. Several studies have analyzed inflation persistence and reached diverging conclusions. In this paper, we investigate the dynamics of inflation persistence using fractionally integrated processes and find that there has been a clear decline in inflation persistence in the United States over the past two decades. We also show that the presence of fractional integration in inflation successfully explains previous diverging results. Lastly, we provide some international comparisons to examine the extent to which there has been a commensurate decline in inflation persistence in the other G7 economies.