Exchange rate regimes and shifts in inflation persistence: Does nothing else matter?

This paper reexamines the findings of Alogoskoufis and Smith (1991), who ar gue that sharp increases in inflation persistence can be attributed to chan ges in the exchange rate regime. Using long time series data from the Unite d Kingdom, the United States, Canada, and Sweden, we suggest that these aut hors' emphasis on a post-1967 shift in inflation persistence is misplaced a nd that there are other equally good candidates to account for changes in i nflation persistence such as wars, oil price shocks, and central bank refor ms. This conclusion is supported by recently developed tests that allow for multiple structural shifts at unknown dates.