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Is inflation persistent? Evidence from a time-varying unit root model

Neluka Devpura, Susan Sunila Sharma, P.K.G. Harischandra and Lasitha R.C. Pathberiya

Pacific-Basin Finance Journal, 2021, vol. 68, issue C

Abstract: In this paper, we examine the time-varying persistency of inflation for 36 Asian economies. We extend the Narayan and Popp (2010) unit root model with two endogenous structural breaks to a time-varying structural break model. Our study provides strong evidence of time-varying persistency for all Asian economies. The structural break dates are found to be statistically significant. We also document that the break dates coincide with changes in the monetary policy frameworks of the respective Asian economies, as well as with the global financial crisis.

Keywords: Monetary policy; Inflation; Persistency; Structural breaks; Rolling window (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1016/j.pacfin.2021.101577

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Handle: RePEc:eee:pacfin:v:68:y:2021:i:c:s0927538x21000846