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Inflation persistence in BRICS countries: A quantile autoregressive (QAR) approach

Andrew Phiri ()

Business and Economic Horizons (BEH), 2018, vol. 14, issue 1, 97-104

Abstract: Using the quantile autoregression methodology (QAR), this study contributes to the ever-expanding empirical literature by investigating the persistence in inflation for BRICS countries using quarterly time series data collected between 1996 to 2016. Our empirical analysis reveals two crucial findings. Firstly, for all estimated regressions, inflation persistence in the higher percentiles of the QAR regression exhibits unit root tendencies. Secondly, we note that the global financial crisis did alter the levels of inflation persistence at all quantiles for all BRICS countries. Collectively, we advise monetary authorities in BRICS countries to focus on keeping inflation at low and stable rates.

Keywords: BRICS; Emerging Economies; Inflation persistence; Quantile regression. (search for similar items in EconPapers)
JEL-codes: C21 C31 (search for similar items in EconPapers)
Date: 2018
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Working Paper: Inflation persistence in BRICS countries: A quantile autoregressive (QAR) approach (2017) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:pdc:jrnbeh:v:14:y:2018:i:1:p:97-104

DOI: 10.15208/beh.2018.8

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