EconPapers    
Economics at your fingertips  
 

A test for inflation persistence in Nigeria using fractional integration & fractional cointegration techniques

Moses Tule, Afees Salisu () and Godday U. Ebuh

Economic Modelling, 2020, vol. 87, issue C, 225-237

Abstract: This study seeks to test for inflation persistence in Nigeria using the recently developed fractional cointegration VAR model by Johansen and Nielsen (2012) and complemented with univariate fractional integration techniques. The empirical results suggest evidence of high inflation persistence in Nigeria albeit with a lower trend after the global financial crisis. Also, the major classes of inflation – headline, core and food inflation rates, share long run properties regardless of the sample used. This suggests that any policy action directed at a particular class of inflation will have a spill-over effect on the other classes given the strong association among them. The ability to also exploit the fractional cointegration in a multivariate set-up when modeling inflation is a major contribution of this study and ignoring same may lead to wrong conclusions. However, the results are sensitive to the choice of data frequency.

Keywords: Inflation persistence; Fraction integration; Fractional cointegration; Global financial crisis; Nigeria (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0264999318316663
Full text for ScienceDirect subscribers only

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:eee:ecmode:v:87:y:2020:i:c:p:225-237

DOI: 10.1016/j.econmod.2019.07.024

Access Statistics for this article

Economic Modelling is currently edited by S. Hall and P. Pauly

More articles in Economic Modelling from Elsevier
Bibliographic data for series maintained by Haili He ().

 
Page updated 2020-08-09
Handle: RePEc:eee:ecmode:v:87:y:2020:i:c:p:225-237