Detecting Structural Breaks in Inflation Trends: A High-Frequency Approach

By: Alberto Cavallo and Gaston Garcia Zavaleta

Format:Print
| Language:English
| Pages:28

Abstract

We combine standard structural-break methods with high-frequency data to identify shifts in inflation trends. We use this approach to study the inflation dynamics of 25 countries from January 2022 to April 2023 and find evidence of a broad-based slowdown in about half of them, including the US. The high-frequency and depth of the data allow us to detect the breaks within a few weeks for a large number of disaggregated sectors, providing an advantage over CPI data for real-time analysis. We apply single and multiple-break strategies; allowing for multiple breaks helps us identify relevant breaks in some sectors but does not significantly change our main results.