HAS INFLATION PERSISTENCE IN INDIA CHANGED OVER TIME?

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.