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Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/949

Title: Non linear inflationary dynamics: evidence from the UK
Authors: Arghyrou, MG
Martin, C
Milas, C
Keywords: inflation persistence, monetary policy, non linear adjustment
Publication Date: 2003
Publisher: Brunel University
Citation: Economics and Finance Working papers, Brunel University, 03-03
Abstract: This paper estimates a variety of models of inflation using quarterly data for the UK between 1965 and 2001. We find strong evidence that the persistence of inflation is nonlinear and that inflation adjusted more rapidly in periods of macroeconomic stress such as the mid-1970s, the early 1980s and the late 1980s-early 1990s. Our results imply that inflation will respond more strongly and more rapidly to changes in interest rates when the price level is further away from the steady state level. This has implications for optimal monetary policy.
URI: http://bura.brunel.ac.uk/handle/2438/949
Appears in Collections:School of Social Sciences Research Papers
Economics and Finance

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