INFLATIONPERSISTENCE INCENTRAL ANDEASTERN EUROPEANCOUNTRIES
ZSOLT DARVAS AND BALÁZS VARGA
•This paper studies inflation persistence with time-varying-coefficient autoregressions for twelve central European countries,in comparison with the United States and the euro area. Inflationpersistence tends to be higher in times of high inflation. Since theoil price shocks, inflation persistence has declined both in the USand euro-area. In most central and eastern European countries, forwhich our study covers 1993-2012, inflation persistence has alsodeclined, with the main exceptions of the Czech Republic, Slovakiaand Slovenia, where persistence seems to be rather stable.
flexible least squares, inflation persistence, Kalman-filter,time-varying coefficient models
(email@example.com) is Research Fellow atBruegel, Research Fellow at the Hungarian Academy of SciencesResearch Centre for Economic and Regional Studies, and AssociateProfessor at Corvinus University of Budapest Department of Mathematical Economics and Economic Analysis.
(firstname.lastname@example.org) is Quant Analyst at OTP FundManagement Ltd and PhD Candidate at the Corvinus University of Budapest. Financial support from OTKA grant (Hungarian ScientificResearch Foundation) No. K76868 is gratefully acknowledged. Wethank David I. Harvey for providing us his GAUSS code for thecalculation of tests of Harvey, Leybourne and Taylor (2006).
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