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Has Inflation Persistence In India Changed Over Time?

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  • JOICE JOHN

    (Reserve Bank of India, Mumbai, India)

Abstract

The temporal movement of reduced form inflation persistence for India was estimated using time-varying autoregressive models with stochastic volatility, using monthly data from April 2004 to June 2012. The results suggested an increasing trend in inflation persistence in India during 2004–2009, which had fallen down subsequently. Structural persistence was studied using a time-varying vector auto regression (VAR) model with inflation, output growth and interest rate as variables using quarterly data from 1996–1997 to 2011–2012. The results suggested that the inflation persistence which was higher in 2009 and 2010, had subsequently moderated.

Suggested Citation

  • Joice John, 2015. "Has Inflation Persistence In India Changed Over Time?," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 60(04), pages 1-16.
    • Handle: RePEc:wsi:serxxx:v:60:y:2015:i:04:n:s0217590815500952
    DOI: 10.1142/S0217590815500952
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    Cited by:

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    3. Alex, Dony, 2021. "Anchoring of inflation expectations in large emerging economies," The Journal of Economic Asymmetries, Elsevier, vol. 23(C).

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    More about this item

    Keywords

    Reduced form inflation persistence; structural inflation persistence; time-varying parameter models; stochastic volatility; E31; C32; E52;
    All these keywords.

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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