Evaluating inflation persistence considering model uncertainty and structural break

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There is little consensus about the historical change in inflation persistence. One of the reasons is that researchers cannot choose a uniform model structure due to model uncertainty. In this study, a model to investigate inflation persistence is proposed. Unlike previous studies, I try to overcome model uncertainty by being agnostic about the structure of the model. Estimation results indicate that inflation has become less persistent over time, implying that inflation persistence is related to the way how monetary policy is conducted.

Original languageEnglish
Pages (from-to)1503-1510
Number of pages8
JournalApplied Economics Letters
Issue number18
StatePublished - 24 Oct 2019


  • Gibbs sampling
  • Inflation persistence
  • model uncertainty


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