Inflation dynamics in Tunisia: a smooth transition autoregressive approach

Wissem Boukraine

MPRA Paper from University Library of Munich, Germany

Abstract: The fact that inflation is still on the rise, despite measures undertaken by the Tunisian central bank, prompts questions as to whether or not inflation dynamics has changed, exhibiting higher levels of persistence and volatility. This paper employs the smooth transition autoregressive model (STAR) to analyze Tunisian inflation dynamics on monthly data over the last three decades. We distinguish three periods based on monetary reforms. The non-linearity tests suggest that the ESTAR specification describes better the behavior of inflation. Our results suggest changes in persistence and important shifts in volatility, which confirm the effectiveness of the monetary reforms to a certain extent given the past political instability and the democratic transition in Tunisia.

Keywords: Inflation; persistence; volatility; Smooth Transition Autoregressive; Tunisia (search for similar items in EconPapers)
JEL-codes: C1 E31 (search for similar items in EconPapers)
Date: 2020
New Economics Papers: this item is included in nep-afr, nep-ara, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/101886/1/MPRA_paper_101886.pdf original version (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:pra:mprapa:101886

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().