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Inflation persistence in BRICS countries: A quantile autoregressive (QAR) approach

Andrew Phiri ()

No 1702, Working Papers from Department of Economics, Nelson Mandela University

Abstract: Using the recently-introduced quantile autoregression methodology (QAR), this study contributes to the ever-expanding empirical literature by investigating the persistence in inflation for BRICS countries using quarterly time series data collected between 1996 to 2016. Our empirical analysis reveals two crucial findings. Firstly, for all estimated regressions, inflation persistence in the higher percentiles of the QAR regression exhibits unit root tendencies. Secondly, we note that the global financial crisis did alter the levels of inflation persistence at all quantiles for all BRICS countries. Collectively, we advise monetary authorities in BRICS countries to focus on keeping inflation at low and stable rates.

Keywords: BRICS; Emerging economies; Inflation persistence; Quantile regression. (search for similar items in EconPapers)
JEL-codes: C21 E31 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cis, nep-mac and nep-mon
Date: 2017-07, Revised 2017-07
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http://repec.mandela.ac.za/RePEc/mnd/wpaper/paper.1702.pdf First version, 2017 (application/pdf)

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Journal Article: Inflation persistence in BRICS countries: A quantile autoregressive (QAR) approach (2018) Downloads
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