 Does a Monetary Union Matter for the Degree of Inflation Persistence? The Case of the West Africa Monetary Zone (WAMZ)Ojo Adelakun () Studies in Economics and Econometrics, 2020, vol. 44, issue 1, 1-34 Abstract: The literature on the dynamics of inflation appears to have shifted from the question of the root cause of shocks to inflation, to whether the monetary union has a bearing in the measure of the degree or the persistence of the effect of the shocks. To capture the specific effect of monetary policy shocks on the persistence of inflation in WAMZ, a multivariate Vector Autoregressive Moving Average GARCH (VARMA- GARCH) framework is implemented. The study employs both conventional and conditional time-varying unit root tests to understand the extent to which monetary union influences the degree of inflation persistence. We find the degree of inflation persistence to have been relatively lower since the advent of monetary union in the WAMZ. The significance of this finding is particularly evident when the time-varying property of the persistence is captured. It is also observed that a monetary policy shock has the potential to neutralise the persistence of shocks to inflation at least in the long run, particularly when the timevarying property of the inflation series is captured. Date: 2020 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:taf:rseexx:v:44:y:2020:i:1:p:1-34 Ordering information: This journal article can be ordered from DOI: 10.1080/10800379.2020.12097354 Access Statistics for this article Studies in Economics and Econometrics is currently edited by Willem Bester More articles in Studies in Economics and Econometrics from Taylor & Francis Journals |
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