Is there asymmetric behaviour in African inflation? A non-linear approach

Luis Gil-Alana, Juan Cuestas and Estefanía Mourelle

No 03/2011, NCID Working Papers from Navarra Center for International Development, University of Navarra

Abstract: In this paper we test the inflation persistence hypothesis as well as model the long run behaviour of inflation rates in a pool of African countries, using a non-linear framework. In order to do so, we rely on unit root tests applied to non-linear models and fractional integration. The result shows that the hypothesis of inflation persistance does not hold empirically for most of the countries. In addition, the estimated models (logistic smooth transition autoregression, LSTAR) 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. The results also indicate that the effects of the shocks on inflation tend to die out; exogenous factors, i.e. supply shocks and inertia may be causing this outcome, as they play a substantial role in the determination of the inflation rates for our selected African countries.

Keywords: Inflation; persistence; unit roots; nonlinearities; STAR (search for similar items in EconPapers)
JEL-codes: C32 E31 F15 (search for similar items in EconPapers)
Pages: 41 pages
Date: 2011-04
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16)

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http://ncid.unav.edu/download/file/fid/167 (application/pdf)
http://onlinelibrary.wiley.com/doi/10.1111/j.1813-6982.2011.01266.x/full Link to published text

Related works:
Journal Article: IS THERE AN ASYMMETRIC BEHAVIOUR IN AFRICAN INFLATION? A NON‐LINEAR APPROACH (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:nva:unnvaa:wp03-2011

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