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How persistent is inflation in Kazakhstan? A fractionally integrated approach

Alisher Tolepbergen ()

No 9, NAC Analytica Working Paper from NAC Analytica, Nazarbayev University

Abstract: The paper analyzes persistence properties of monthly inflation and its components in Kazakhstan using fractionally integrated approach for the period between February 2001 and June 2020. The results suggest the presence of long memory behavior in inflation series. General inflation, food inflation, and non-food inflation experience a break in late 2015 when the National Bank of Kazakhstan announced a shift in the monetary policy regime. The evidence for the effect of the policy change on inflation persistence is mixed. Non-food inflation is fractionally cointegrated with the nominal depreciation rate. Finally, the estimation of persistence parameter is sensitive to the choice of data frequency.

Keywords: Inflation; persistence; fractional integration (search for similar items in EconPapers)
JEL-codes: C22 E31 (search for similar items in EconPapers)
Pages: 14 pages
Date: 2020-09, Revised 2021-02
New Economics Papers: this item is included in nep-cba, nep-cis, nep-mac and nep-mon
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