Inflation persistence in BRICS countries based on fractional integration

Amir Imeri, Carlos Poza and Luis Alberiko Gil-Alana

Journal of Economic Studies, 2025, vol. 53, issue 4, 703-713

Abstract: PurposeAs a result, the primary purpose of the study is to assess the influence of these two shocks on the inflation persistence of the BRICS countries.Design/methodology/approachThe most current occurrence of global instability, the COVID-19 outbreak and the ongoing Russia/Ukraine war, provide a unique research opportunity to determine if inflation volatility, generated by the pandemic and the war, is irrevocably linked to its persistence. We apply fractional integration techniques to the price series.FindingsOur results indicate high levels of persistence in all countries, with orders of integration higher than 1 in practically all cases. This result holds independently of using data ending in January 2020 or January 2024. India is the only country with an order of integration significantly below 1 in the two cases, and thus showing evidence of mean reversion and transitory shocks.Originality/value

Keywords: Inflation; BRICS; Fractional integration; Persistence; Shocks (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eme:jespps:jes-01-2025-0028

DOI: 10.1108/JES-01-2025-0028

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