UK INFLATION: PERSISTENCE, SEASONALITY AND MONETARY POLICY

Denise R. Osborn · Marianne Sensier

28 citations0/0 files storedScottish Journal of Political Economy

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Monetary Policy and Economic Impact Market Dynamics and Volatility Unemployment and Economic Growth

Abstract

ABSTRACT In the light of the changes to UK monetary policy since the early 1980s, we study the existence and nature of changes in the properties of retail price inflation over this period. A feature of our analysis is the attention paid to the marked seasonal pattern of monthly UK inflation. After taking account of seasonality, both univariate and Phillips curve models provide strong evidence of changes in the level and persistence of inflation around the end of 1992, at the time of the introduction of inflation targeting. Indeed, all models point to the effective disappearance of inflation persistence after this date, implying that constant‐parameter models estimated using both pre‐ and post‐inflation targeting data periods should be treated with considerable caution.

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References

1999The Science of Monetary Policy: A New Keynesian Perspective 1993Tests for Parameter Instability and Structural Change With Unknown Change Point 1999Inflation dynamics: A structural econometric analysis 2002SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS 1995Inflation Persistence 1997Estimation of a Change Point in Multiple Regression Models 2001Are Phillips Curves Useful for Forecasting Inflation?2001European inflation dynamics

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2012DIRECTORATE GENERAL FOR INTERNAL POLICIES POLICY DEPARTMENT A: ECONOMIC AND SCIENTIFIC POLICY 2013Identifying Changes in Mean, Seasonality, Persistence and Volatility for G7 and Euro Area Inflation*2013HAS INFLATION TARGETING CHANGED THE CONDUCT OF MONETARY POLICY?2020Inflation in the G7 Countries: Persistence and Structural Breaks 2019Global liquidity, money growth and UK inflation

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