Testing the inflation rates in MENA countries: Evidence from quantile regression approach and seasonal unit root test

Süleyman Bolat, Aviral Tiwari and Phouphet Kyophilavong

Research in International Business and Finance, 2017, vol. 42, issue C, 1089-1095

Abstract: We investigate the dynamic behavior and seasonal property (with regime shift) of inflation in the Middle East and North Africa (MENA) countries. Our investigation uses the quantile regression approach developed by Koenker and Xiao (2004) and the newly developed seasonal unit root test of Narayan and Popp (2011) respectively. Our empirical results show that the inflation rates are not mean-reverting, and they show the asymmetries in their dynamic adjustment. Further, we find a seasonal unit root does not exist in the inflation rate for any country in this study. This finding implies that shocks do not have lasting effects on the inflation rate.

Keywords: Inflation rate; Quantile regression; Seasonal unit root test; MENA countries (search for similar items in EconPapers)
JEL-codes: E24 E31 E52 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:42:y:2017:i:c:p:1089-1095

DOI: 10.1016/j.ribaf.2017.07.043

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