Some Evidence of Smooth Transition Nonlinearity in Colombian Inflation

Luis Arango Thomas and Andres Gonzalez

Borradores de Economia from Banco de la Republica de Colombia

Abstract: Evidence of smooth transition autoregressive (STAR) representations is found in two, out of three, time series of different measures of annual inflation in Colombia during this decade for monthly data. The STAR-type nonlinearities are asymmetric for inflation computed as the variation of CPI while for (a measure of) core inflation are symmetric. Thus, LSTAR and ESTAR models were, respectively, estimated. No evidence of nonlinearity is found for traded goods inflation. Given the local dynamic properties of the estimated LSTAR model, only positive shocks to prices could shift negative accelerating inflation rate from the upper to the lower regime. By the same token, only stochastic shocks can move the core accelerating inflation rate from the outer regime to the middle one but the explosive nature of this regime will impulse accelerating inflation rate to the outer one.

Keywords: nonlinearity; core inflation; regimes; logistic and exponential transition functions. (search for similar items in EconPapers)
JEL-codes: C22 C51 E31 E52 (search for similar items in EconPapers)
Date: 1998-09
New Economics Papers: this item is included in nep-mac
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Citations: View citations in EconPapers (12)

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https://doi.org/10.32468/be.105 (application/pdf)

Related works:
Journal Article: Some evidence of smooth transition nonlinearity in Colombian inflation (2001)
Working Paper: SOME EVIDENCE OF SMOOTH TRANSITION NONLINEARITY IN COLOMBIAN INFLATION (1998)
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Persistent link: https://EconPapers.repec.org/RePEc:bdr:borrec:105

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