Inflation Dynamics in Uganda: A Quantile Regression Approach

Francis Leni Anguyo, Rangan Gupta and Kevin Kotze
Additional contact information
Francis Leni Anguyo: School of Economics, University of Cape Town

No 2017-07, School of Economics Macroeconomic Discussion Paper Series from School of Economics, University of Cape Town

Abstract: This paper considers the measurement of inflation persistence in Uganda and how this has changed over time. As the data does not follow a normal distribution, we make use of the quantile regression approach to investigate how various shocks may affect the rate of inflation within different quantiles. The measures of inflation include headline inflation, the current measure of core inflation, and an alternative measure of core inflation. The results suggest that while a unit root is found in many of the upper quantiles of headline inflation, there is evidence of mean reversion within the lower quantiles. In addition, we find higher levels of persistence after 2006 and during the inflation-targeting period. When considering the degree of persistence in the current measure of core inflation, the results suggest that there is a unit root in this measure during the inflation-targeting period. In addition, the alternative measure of core inflation, which is derived from a wavelets transformation, provides similar results. However, this measure is less volatile and more correlated with headline inflation. All the results suggest that large positive deviations from the mean would influence the permanent behaviour of inflation, while small negative deviations are relatively short-lived.

Keywords: Inflation persistence; Quantile regression; Structural break; Monetary policy (search for similar items in EconPapers)
Date: 2017
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
References: Add references at CitEc
Citations:

Downloads: (external link)
https://docs.google.com/viewer?a=v&pid=sites&srcid ... ZDQ0MTRiY2I0ZDkxZjBm Full text (application/pdf)

Related works:
Journal Article: Inflation dynamics in Uganda: a quantile regression approach (2020)
Working Paper: Inflation Dynamics in Uganda: A Quantile Regression Approach (2017)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ctn:dpaper:2017-07

Access Statistics for this paper

More papers in School of Economics Macroeconomic Discussion Paper Series from School of Economics, University of Cape Town Contact information at EDIRC.
Bibliographic data for series maintained by Kevin Kotze ().