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این مقاله علمی پژوهشی (ISI) به زبان انگلیسی از نشریه اسپرینگر مربوط به سال ۲۰۲۲ دارای ۱۴ صفحه انگلیسی با فرمت PDF می باشد در ادامه این صفحه لینک دانلود رایگان مقاله انگلیسی و بخشی از ترجمه فارسی مقاله موجود می باشد.
کد محصول: h824
سال نشر: ۲۰۲۲
نام ناشر (پایگاه داده): اسپرینگر
نام مجله: Journal of Economics and Finance
نوع مقاله: علمی پژوهشی (Research articles)
تعداد صفحه انگلیسی: ۱۴ صفحه PDF
عنوان کامل فارسی:
مقاله انگلیسی ۲۰۲۲ :تورم در کشورهای G7: شکست های ساختاری و ثبات
عنوان کامل انگلیسی:
Inflation in the G7 countries: persistence and structural breaks
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Abstract
This paper examines long-range dependence in the inflation rates of the G7 countries by estimating their (fractional) order of integration d over the sample period January 1973—March 2020. The results indicate that the series are very persistent, the estimated value of d being equal to or higher than 1 in all cases. Possible non-linearities in the form of Chebyshev polynomials in time are ruled out. Endogenous break tests are then carried out, and the degree of integration is estimated for each of the subsamples corresponding to the detected break dates. Significant differences are found between subsamples and countries in terms of the estimated degree of integration of the series, which is likely to be related to the reputation and credibility of the monetary authorities.
Keywords: Inflation rates · G7 · Persistence · Long memory · Long-range dependence
۱.Introduction
Measuring inflation persistence is of interest to both academics (to establish the empirical relevance of different theoretical models, such as the Phillips curve or DSGE models) and monetary authorities (to anchor expectations in order to lower persistence and reduce the output costs of disinflation). High persistence might result, for instance, from price and wage rigidities (Galí and Gertler, 1999), or from the lack of transparency of monetary policy (Walsh, 2007).
There is plenty of evidence suggesting that inflation has been highly persistent in most developed countries since WWII (Miles et al., 2017). However, an equally important issue is whether or not its degree of persistence has changed over time, possibly as a result of the adoption of different monetary policy frameworks such inflation targeting. Pivetta and Reis (2007) and Stock and Watson (2007, 2010) do not find any significant changes in the US in the post-WWII period when accounting for uncertainty around point estimates or distinguishing between persistent and transitory changes in inflation. Similarly, Caporale et al. (2018) conclude that inflation persistence has been lower in the UK in the twentieth century compared to earlier ones but has not changed significantly since WWI…
۶.Conclusion
This paper examines long-range dependence in the inflation rates of the G7 countries by estimating their (fractional) order of integration d over the sample period January 1973—March 2020. Its key contribution is to provide extensive evidence on the issue of whether or not inflation persistence has changed over time in the countries under investigation. T
he results indicate that the series are very persistent, the estimated value of d being equal to or higher than 1 in all cases, which might reflect explosive deviations of headline prices from core prices during the period examined. Possible non-linearities in the form of Chebyshev polynomials in time are ruled out. Endogenous break tests are then carried out, and the degree of integration is estimated for each of the subsamples corresponding to the detected break dates. Significant differences are found between subsamples and countries in terms of the estimated degree of integration of the series, which implies that the degree of persistence has not remained stable over time. This is an important finding for both academics aiming to discriminate between different theoretical models of inflation and for monetary authorities responsible for the design of appropriate stabilization policies. In particular, it suggests that the latter should adopt policy frameworks resulting in higher credibility since this leads to lower persistence…
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