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South Africa’s inflation persistence: a quantile regression framework

Rangan Gupta (), Charl Jooste () and Omid Ranjbar ()

Economic Change and Restructuring, 2017, vol. 50, issue 4, 367-386

Abstract: Abstract We study inflation persistence in South Africa using a quantile regression approach (We would like to thank two anonymous referees for many helpful comments. However, any remaining errors are solely ours). We control for structural breaks using a quantile structural break test on a long span of inflation data. Our study includes persistence estimates for headline and core inflation—thus controlling for possible biases emanating from extremely volatile periods. South Africa’s inflation persistence is lowest during the inflation targeting period regardless of the inflation measure. Inflation persistence is also constant over all quantiles during the inflation targeting regime for core inflation. There is a difference between the estimates from headline and core—headline persistence increases in relation to higher quantiles. Thus energy and food price shocks might de-stabilise inflation altogether.

Keywords: Inflation persistence; Quantile regression; Structural breaks; C21; E31 (search for similar items in EconPapers)
Date: 2017
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