INFLATION TARGETING AND THE STATIONARITY OF INFLATION: NEW RESULTS FROM AN ESTAR UNIT ROOT TEST

Andros Gregoriou () and Alexandros Kontonikas ()

Bulletin of Economic Research, 2006, vol. 58, issue 4, 309-322

Abstract: In this paper, we examine the time series properties of inflation in seven countries that have adopted inflation targeting. Unlike previous studies, we utilize a non‐linear mean reverting adjustment mechanism for inflation and we discover that, although deviations of inflation from the target can exhibit a region of non‐stationary behaviour, overall they are stationary indicating successful targeting implementation.

Date: 2006
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https://doi.org/10.1111/j.0307-3378.2006.00246.x

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Working Paper: Inflation Targeting and the Stationarity of Inflation: New Results from an ESTAR Unit Root Test (2005)
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