Is there a unit root in inflation?

被引：33

作者：

Henry, OT ^{[1
]}

Shields, K ^{[1
]}

机构：

[1] Univ Melbourne, Dept Econ, Melbourne, Vic 3010, Australia

来源：

JOURNAL OF MACROECONOMICS | 2004年 / 26卷 / 03期

关键词：

unit root; regimes; threshold autregression; non-linearity; bootstrap;

D O I：

10.1016/j.jmacro.2003.03.003

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This study seeks to distinguish between non-stationarity and non-linearity in quarterly US, Japanese and UK inflation. The evidence suggests that inflation in the UK and Japan is well described as a two-regime threshold unit root process. Shocks to inflation are highly persistent in one regime, but have finite lives in the other regime. For the USA the threshold is not significant and shocks to inflation appear to be infinitely persistent. A small-scale Monte-Carlo experiment highlights the poor finite sample performance of popular unit root and stationarity tests in the face of neglected thresholds. (C) 2004 Elsevier Inc. All rights reserved.

引用

页码：481 / 500

页数：20

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