Mean reversion of inflation rates in seven Eastern European countries: An application of a fourier quantile unit root test

Deng-Kui Si and Xiao-Lin Li

The Journal of International Trade & Economic Development, 2018, vol. 27, issue 2, 145-167

Abstract: This paper applies recently developed Fourier quantile unit root test to investigate time-series property of inflation in seven Eastern European countries. This method combines the quantile unit root test with smooth unknown multiple breaks through Fourier function, and has good size and power when the data follows heavy tailed distribution. Our results show that the inflation rates are stationary within each quantile for Czech Republic, Bulgaria and Lithuania, while the other four countries contain a unit root within some quantiles. We also find the speed of inflation adjustment towards to its long-run equilibrium for each country is asymmetric. Our results have important policy implications for monetary authorities in these Eastern European countries.

Date: 2018
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/09638199.2017.1350200 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:jitecd:v:27:y:2018:i:2:p:145-167

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RJTE20

DOI: 10.1080/09638199.2017.1350200

Access Statistics for this article

The Journal of International Trade & Economic Development is currently edited by Pasquale Sgro, David E.A. Giles and Charles van Marrewijk

More articles in The Journal of International Trade & Economic Development from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().