Persistence in International Inflation Rates

Christopher Baum, John Barkoulas and Mustafa Caglayan ()

No 333., Boston College Working Papers in Economics from Boston College Department of Economics

Abstract: We test for fractional dynamics in CPI-based inflation rates for twenty-seven countries and WPI-based inflation rates for twenty-two countries. The fractional differencing parameter is estimated using semiparametric and approximate maximum likelihood methods. Significant evidence of fractional dynamics with long-memory features is found in both CPI- and WPI-based inflation rates for industrial as well as developing countries. Implications of the findings are considered and sources of long memory are hypothesized.

Keywords: fractional dynamics; inflation; long memory (search for similar items in EconPapers)
JEL-codes: C22 E31 E32 (search for similar items in EconPapers)
Pages: 34 pages
Date: 1996-01-01
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Citations: View citations in EconPapers (23)

Published, Southern Economic Journal, 65:4 (1999), 900-914.

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Journal Article: Persistence in International Inflation Rates (1999)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocoec:333

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