Analysing South Africa's Inflation Persistence Using an ARFIMA Model with Markov-Switching Fractional Differencing Parameter
Rangan Gupta and
No 15-09, Working Papers from Eastern Mediterranean University, Department of Economics
We test the inertial properties of South African inflation in a Markov-Switching autoregressive fractionally integrated moving average model. This allows us to test for long memory and study the persistence of inflation in multiple regimes. We show that inflation is more volatile and persistent during high inflation episodes relative to low inflation episodes. We estimate that it takes approximately 70 months for 50 percent of the shocks to dissipate in a high inflation regime compared to 10 months in a low inflation regime.
Keywords: Inflation persistence; MS-ARFIMA; inflation regimes (search for similar items in EconPapers)
JEL-codes: C20 E31 (search for similar items in EconPapers)
Pages: 9 pages
New Economics Papers: this item is included in nep-mac, nep-mon and nep-ore
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http://repec.economics.emu.edu.tr/RePEc/emu/wpaper/15-09.pdf First version, 2014 (application/pdf)
Journal Article: Analyzing South Africa’s inflation persistence using an ARFIMA model with Markov-switching fractional differencing parameter (2016)
Working Paper: Analysing South Africa's Inflation Persistence Using an ARFIMA Model with Markov-Switching Fractional Differencing Parameter (2014)
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