Instability in U . S . Inflation : 1967 – 2005

This article studies U.S. monthly inflation, inflation growth, and price level dynamics from January 1967 to September 2005. Two rolling samples are constructed to recover evidence about instability in inflation, inflation growth, and price level persistence and volatility. Evidence is presented that changes in inflation, inflation growth, and price level persistence and volatility coincide with economic events such as the oil price shocks of the 1970s or the end of the 1990 – 1991 recession. A striking aspect of the persistence and volatility estimates is that the personal consumption expenditure deflator – excluding food and energy – approximates serially uncorrelated white noise when observations prior to 1992 are discounted. JEL Classification Codes: C220, E310