Full-text resources of CEJSH and other databases are now available in the new Library of Science.
Visit https://bibliotekanauki.pl

PL EN


2013 | 60 | 2 | 187-209

Article title

Uporczywość inflacji i jej komponentów – badanie empiryczne dla Polski

Content

Title variants

EN
Inflation persistence at disaggregated level – empirical study for Poland

Languages of publication

PL

Abstracts

PL
Artykuł porusza kwestię uporczywości szeregów czasowych inflacji i jej komponentów (11 indeksów cen), która wpływa na szybkość powrotu do równowagi po ustąpieniu szoku. W tym celu wykorzystano powszechnie stosowane metody szacowania uporczywości: bazujące na modelach klasy AR (por. Marques, 2004; Pivetta, Reis, 2007) oraz, alternatywnie, estymację długiej pamięci występującej w analizowanych szeregach (por. Baillie 1996; Koop i in., 1997). Wyboru pomiędzy dwoma klasami modeli dokonano na podstawie wyników testów klasy FDF (Dolado, Gonzalo, Mayoral, 2006). W drodze eksperymentu polegającego na estymacji modeli w przesuwanym oknie estymacji zbadano także zmianę uporczywości w czasie. Wyniki wskazują, że w analizowanym okresie nastąpił spadek uporczywości większości szeregów czasowych inflacji, za co w większości odpowiada zmiana strukturalna, która pokrywa się z okresem wprowadzania i modyfikowania strategii polityki pieniężnej w Polsce.
EN
The paper aims to evaluate inflation persistence at a disaggregated level. The measures of inflation persistence used in the exercise rely solely on time series methods of AR and long memory models (cf: Marques, 2004; Pivetta, Reis, 2007; Baillie, 1996) and are applied to Polish CPI and its 11 components. The choice between those two frameworks has been based on the results of the FDF test (Dolado, Gonzalo, Mayoral, 2006). The second part of the study consisted in investigation of the dynamics of persistence. An experiment of rolling window regressions revealed a decrease in the persistence of most of the price indices. A plausible source of the decline was a structural change, which occurred during the introduction of direct inflation targeting by the monetary authorities in Poland.

Year

Volume

60

Issue

2

Pages

187-209

Physical description

Contributors

  • Narodowy Bank Polski, O/O Łódź Al. Kościuszki, 14 90-950 Łódź
  • Uniwersytet Łódzki, Wydział Ekonomiczno-Socjologiczny, Katedra Ekonometrii, ul. Rewolucji 1905 r. nr 41/43, 90-214 Łódź
  • Narodowy Bank Polski, O/O Łódź Al. Kościuszki, 14 90-950 Łódź

References

  • Altissimo F., Ehrmann M., Smets F., (2006), Inflation Persistence and Price-Setting Behavior in the Euro Area. A Summary of the IPN Evidence, ECB Occasional Papers, 46.
  • Altissimo F., Mojon B., Zaffaroni P., (2009), Can Aggregation Explain the Persistence of Inflation?, Journal of Monetary Economics, 56 (2), 231-241.
  • Andrews D., (1993), Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models, Econometrica, 61 (1), 139–165.
  • Babecký J., Coricelli F., Horváth R., (2009), Assessing Inflation Persistence: Micro Evidence on an Inflation Targeting Economy, Czech Journal of Economics and Finance, 59 (2), 102-127.
  • Baillie R. T., (1996), Long Memory Processes and Fractional Integration in Econometrics, Journal of Econometrics, 73, 5-59.
  • Berben R., Mestre R., Mitrakos T., Morgan J., Zonzilos N., (2005), Inflation Persistence in Structural Macroeconomic Models, ECB Working Papers, 521.
  • Bilke L., (2005), Break in the Mean and Persistence of Inflation. A Sectoral Analysis of French CPI, ECB Working Papers, 463.
  • Bos C., (2001), Time Varying Parameter Models for Inflation and Exchange Rates, WebDOC.
  • Cecchetti S., Debelle G., (2006), Has the Inflation Process Changed?, Economic Policy, 21 (46), 311-352.
  • Clark T. E., (2006), Disaggregate Evidence on the Persistence of Consumer Price Inflation, Journal of Applied Econometrics, 21 (5), 563-587.
  • Cutler J., (2001), Core Inflation in the UK, External MPC Unit Discussion Papers, 3.
  • De Jong D.N., Whiteman C.H., (1991), Reconsidering ‘Trends and Random Walks in Macroeconomic Time Series’, Journal of Monetary Economics, 28, 221-254.
  • Dhyne E., Alvarez L.J., Le Bihan H., Veronese G., Dias D., Hoffmann J., Jonker N., Lunnemann P., Rumler F., Vilmunen J., (2006), Price Changes in the Euro Area and the United States: Some Facts from Individual Consumer Price Data, Journal of Economic Perspectives, 20 (2), 171-192.
  • Dolado J. J., Gonzalo J., Mayoral L., (2006), What is What?: A Simple Time-Domain Test of Long-memory vs. Structural Breaks, Mimeo, Universidad Carlos III de Madrid.
  • Dolado J. J., Gonzalo J., Mayoral L., (2009), Simple Wald Tests of the Fractional Integration Parameter: An Overview of New Results, Mimeo, Universidad Carlos III de Madrid.
  • Eurostat, (2001), Compendium of HICP - Reference Documents (2/2001/B/5).
  • Franta M., Saxa B., Šmidková K., (2010), The Role of Inflation Persistence in the Inflation Process in the New EU Member Countries, Czech Journal of Economics and Finance, 60 (6), 480–500.
  • Fuhrer J. C., (2009), Inflation Persistence, Federal Reserve Bank of Boston Working Papers, 09-14.
  • Fuhrer J. C., Moore G., (1995), Inflation Persistence, The Quarterly Journal of Economics, 110 (1), 127-59.
  • Gadea M. D., Mayoral L., (2006), The Persistence of Inflation in OECD Countries: A Fractionally Integrated Approach, International Journal of Central Banking, International Journal of Central Banking, 2 (1), 51-104.
  • Gali J., Gertler M., (1999), Inflation Dynamics: A Structural Econometric Analysis, Journal of Monetary Economics, 44 (2), 195-222.
  • Granger C. W. J., (1980), Long memory relationships and the aggregation of dynamic models, Journal of Econometrics, 14, 227-238.
  • Geweke J., Porter-Hudak S., (1983), The Estimation and Application of Long-Memory Time Series Models, Journal of Time Series Analysis, 4, 221-238.
  • Granger C. W. J, Joyeux K., (1980), An Introduction to Long-Memory Time Series and Fractional Differencing, Journal of Time Series Analysis, 1, 15-29.
  • Hassler U., Wolters J., (1995), Long Memory in Inflation Rates: International Evidence, Journal of Business & Economic Statistics, 13 (1), 37-45.
  • Hosking J. R. M., (1981), Fractional Differencing, Biometrika, 68, 165-176.
  • Koop G., Ley E., Osiewalski J., Steel M., (1997), Bayesian Analysis of Long Memory and Persistence using ARFIMA models, Journal of Econometrics, 76 (1-2), 149-169.
  • Kwiatkowski D., Phillips P., Schmidt P., Shin Y., (1992) Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root. How Sure Are We That Economic Time Series Have a Unit Root?, Journal of Econometrics, 54, 159-178.
  • Kwiatkowski J., (1999a), Bayesowska analiza modeli ARFIMA i persystencji na przykładzie kursu jednostek uczestnictwa funduszu Pioneer, Dynamiczne modele ekonometryczne, Toruń, 261-276.
  • Kwiatkowski J., (1999b), Procesy z długą pamięcią i modele ARFIMA, Zeszyty Naukowe AUNC 329, Toruń, 157-171.
  • Lee H., Amsler C., (1997), Consistency of the KPSS Unit Root Test Against Fractionally Integrated Alternative, Economics Letters, 55 (2), 151-160.
  • Lünnemann P., Mathä T. Y., (2004), How Persistent is Disaggregate Inflation? An Analysis Across E15 Countries and HICP Sub-Indices, ECB Working Papers, 415.
  • Lünnemann P., Mathä T.Y., (2005), Regulated and Services’ Prices and Inflation Persistence, ECB Working Papers, 466.
  • Marques C. R., (2004), Inflation Persistence: Facts of Artefacts, ECB Working Papers, 371.
  • Mayoral L., (2006), Is the Observed Persistence Spurious? A Test for Fractional Integration Versus Short Memory and Structural Breaks, Univesidad Pompeu Fabra Working Papers, 956.
  • Meller B., Nautz D., (2009), The Impact of the European Monetary Union on Inflation Persistence in the Euro Area, SFP 649 Discussion Papers, 037.
  • Narodowy Bank Polski, (2003), Strategia polityki pieniężnej po 2003 roku.
  • Narodowy Bank Polski, (2009), Raport na temat pełnego uczestnictwa Rzeczpospolitej Polskiej w trzecim etapie Unii Gospodarczej i Walutowej.
  • Nelson C. R., Plosser C., (1982), Trends and Random Walks in Macroeconomic Time Series: Some Evidence and Implications, Journal of Monetary Economics, 10 (2), 139-162.
  • Perron P., (1989), The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis, Econometrica, 57 (6), 1361-1401.
  • Phillips P., (1991), To Criticize the Critics: an Objective Bayesian Analysis of Stochastic Trends, Journal of Applied Econometrics, 6 (4), 333–364.
  • Phillips P., Perron P., (1988), Testing for a Unit Root in a Time Series Regression, Biometrica, 75, 335-346.
  • Pivetta F., Reis R., (2007), The Persistence of Inflation in the United States, Journal of Economic Dynamics and Control, 31 (4), 1326-1358.
  • Rossi B., (2005) Confidence Intervals for Half-Life Deviations from Purchasing Power Parity. Journal of Business & Economic Statistics, 19, 432-442.
  • Said S. E., Dickey D.A., (1984), Testing for Unit Root in Autoregressive Moving Average Models of Unknown Order, Biometrica, 71, 599-608.
  • Sephton P., (2009), Critical Values for the Augmented Efficient Wald Test for Fractional Unit Roots, 37 (3), Empirical Economics, 615-626.
  • Shimotsu K., Phillips P. C. B., (2005), Exact Local Whittle Estimation of Fractional Integration, Annals of Statistics, 33, 1890-1933.
  • Stock J. H., (1991), Confidence Intervals for the Largest Autoregressive root in U.S. Macroeconomic Time Series, Journal of Monetary Economics, 28 (3), 435-459.
  • Walsh C. E, (2009), Inflation Targeting: What Have We Learned?, International Finance, 12 (2), 195–233.
  • Walsh J. P., (2011), Reconsidering the Role of Food Prices in Inflation, IMF Working Papers nr 11/71.
  • Westelius N., (2005), Discretionary Monetary Policy and Inflation Persistence, Journal of Monetary Economics, 52 (2), 477–496.
  • Zivot E., Andrews D., (1992), Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis, Journal of Business & Economic Statistics, 10 (3), 251-70.

Document Type

Publication order reference

Identifiers

YADDA identifier

bwmeta1.element.desklight-52d90331-cf3e-47e1-851d-959fdd6c8a87
JavaScript is turned off in your web browser. Turn it on to take full advantage of this site, then refresh the page.