Inflation persistence and asymmetries: evidence for African countries

Juan Cuestas and Estefanía Mourelle

NBS Discussion Papers in Economics from Economics, Nottingham Business School, Nottingham Trent University

Abstract: In this paper we aim at testing the inflation persistence hypothesis as well as modelling (using logistic smooth transition autoregressive, LSTAR, models) the long run behaviour of inflation rates in a pool of African countries. In order to do so, we rely on unit root tests applied to nonlinear models, i.e. Kapetanios et al. (2003). The results point to the non-persistence of inflation hypothesis for most of the countries. In addition, the estimated models are stable in the sense that the variable tends to remain in the regime (low inflation or high inflation) once reached and changes between regimes are only achieved after a shock.

Keywords: Inflation; Persistence; Unit Roots; Nonlinearities. (search for similar items in EconPapers)
JEL-codes: C32 E31 F15 (search for similar items in EconPapers)
Date: 2009-02
New Economics Papers: this item is included in nep-afr, nep-cba, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.ntu.ac.uk/__data/assets/pdf_file/0015/3 ... -and-asymmetries.pdf First version, 2009 (application/pdf)

Related works:
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:nbs:wpaper:2009/2

Access Statistics for this paper

More papers in NBS Discussion Papers in Economics from Economics, Nottingham Business School, Nottingham Trent University
Bibliographic data for series maintained by King Lim ( this e-mail address is bad, please contact ).