IES Lunch Seminar: Istituzioni, Economia, Sviluppo
On the persistence of UK inflation: a long-range dependence approach
Thursday 07 February 2019, at 1 p.m.
National Research Council
Institute of Studies on Mediterranean Societies
Via Cardinale Guglielmo Sanfelice n.8, Naples
Conference hall Humanistic Pole (6th floor)
We examine the degree of persistence in UK inflation by applying long-memory methods to historical data that span the period from 1660 to 2016. Specifically, we use both parametric and non-parametric fractional integration techniques, that are more general than those based on the classical I(0) vs. I(1) dichotomy. Further, we carry out break tests to detect any shifts in the degree of persistence, and also run rolling-window and recursive regressions to investigate its evolution over time. On the whole, the evidence suggests that the degree of persistence of UK inflation has been relatively stable following the Bretton Woods period, despite the adoption of different monetary regimes. The estimation of an unobserved-components stochastic volatility model sheds further light on the issues of interest by showing that post-Bretton Woods changes in UK inflation are attributable to a fall in the volatility of permanent shocks.
THE INITIATIVE. The IES Lunch Seminars are the result of a joint project between three Neapolitan universities and a CNR Institute, in a form that proposes cycles of seminars on economics that are particularly attentive to issues related to institutions and development. The aim is, on the one hand, to allow the researchers who take part to present the results of their research and, on the other hand, to create a place of meeting and confrontation between economists and social scientists with different academic backgrounds and study interests.
15.00 Fine dei lavori
THE PROMOTING ORGANISATIONS. Università degli Studi di Napoli Federico II (Dipartimento di Scienze Politiche); Università degli Studi L’Orientale di Napoli (Dipartimento di Scienze Umane e Sociali); Università degli Studi di Napoli Parthenope (Dipartimento di Studi Aziendali ed Economici); CNR-ISSM (Consiglio Nazionale delle Ricerche, Istituto di studi sulle società del Mediterraneo)
SCIENTIFIC COMMITTEE. Salvatore Capasso (CNR-ISSM), Marcella D’Uva (Università degli Studi di Napoli Parthenope), Giuseppe Gaeta (Università degli Studi L’Orientale di Napoli), Gaetano Vecchione (Università degli Studi di Napoli Federico II)
LOCATION AND INFO:
Via Cardinale Guglielmo Sanfelice, 8
Humanistic Pole, 6th floor
081-6134086, int. 214
IN ALLEGATO: locandina e programma Anno 2019