Testing the inflation rates in MENA countries: Evidence from quantile regression approach and seasonal unit root test

Süleyman Bolat, Aviral Tiwari and Phouphet Kyophilavong
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Süleyman Bolat: Aksaray University

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Abstract: We investigate the dynamic behavior and seasonal property (with regime shift) of inflation in the Middle East and North Africa (MENA) countries. Our investigation uses the quantile regression approach developed by Koenker and Xiao (2004) and the newly developed seasonal unit root test of Narayan and Popp (2011) respectively. Our empirical results show that the inflation rates are not mean-reverting, and they show the asymmetries in their dynamic adjustment. Further, we find a seasonal unit root does not exist in the inflation rate for any country in this study. This finding implies that shocks do not have lasting effects on the inflation rate.

Keywords: Inflation rate; MENA countries; Quantile regression; Seasonal unit root test (search for similar items in EconPapers)
Date: 2017
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Published in Research in International Business and Finance, 2017, 42, pp.1089-1095. ⟨10.1016/j.ribaf.2017.07.043⟩

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Journal Article: Testing the inflation rates in MENA countries: Evidence from quantile regression approach and seasonal unit root test (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02000695

DOI: 10.1016/j.ribaf.2017.07.043

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